At some point, all of the low-hanging fruit on your family tree is going to be gone. So where can you turn to look for more obscure relatives? Time to check out Cyndi's List, one of the largest and most comprehensive indices of genealogical resources on the Internet. Here you'll find access to information about archives in other countries, detailed guides for organizing your files and a vibrant online community.
There a lot of other free sites on the Internet, but at some point you may have to start paying. Subscription sites like Ancestry.com offer an alternative to traveling all the way to your grandfather's hometown just to see if there are any old newspapers with his picture in them lying around. Fortunately, most pay sites also offer a free trial period so that you can see if they're right for you.
Remember also that if you hit an obstacle, chances are that other people have hit the same one. Veteran genealogists enjoy helping newbies, and Cyndi's List maintains a list of helpful message boards. Some institutions are also specifically devoted to assistance with difficult genealogical research -- for instance, if you have ancestors who were slaves, the Amistad Research Center is good starting point for finding archival information about African-Americans and ethnic minorities.
Finally, don't assume your family name was spelled the same way it is now. In fact, it probably wasn't. Names from languages other than English were the easiest for the record-keepers of yore to mangle, but even Smiths were Smithers, Smythes and Snuths. Sorry Smiths. You have a tough row to hoe. Hang in there.