I've been doing research on a new state lately. Stumbling through roadblock after roadblock, I've become enormously glad for a little recognized part of Connecticut genealogy - the local historical society. I'm sure other states have the same thing, but they're often county-wide and harder to use. Connecticut's are nice and easy.
Almost every Connecticut town boasts a local historical society. Usually volunteer run and only open for a few hours a week, the society may be almost impossible to access. Once you get inside, however, your patience will be rewarded. Most societies began collecting in the late 19th century. Their archives may contain everything from 17th century records to 20th century war memorabilia. Oftentimes, they're staffed by at least one informative local. If he or she doesn't know the answer to your question, they'll at least be able to tell you who to talk to.
Even if you can't get to the local society, make sure to check out their website or give them a call. I recently stumbled across the website for the Sharon Historical Society. Although the town has less than 3,000 residents (per Wikipedia), they've built an impressive online presence. The website boasts a town-wide surname listing, headstone transcriptions, diaries, and more. If you're headed to Sharon - even digitally - it should be a stop.
Thanks to all the historical society volunteers. You do make a difference!