- local--such as town, city, or township records
- county level records
- state level records
- federal level records
The importance of searching all jurisdictions is applicable anywhere, not just the United States. The names of the government levels may be different, but the layers still exist.
And don't forget church records, which also may have local records and records at a national level---usually records of former churches or parishes that have been transferred to an "archives" for preservation.