Tracing your family tree on the 'Net is absurdly easy. There are too many federal, state, local, and private libraries, archives, and organizations to link to here. Maybe someday I'll try for an exhaustive link list, but for now here's just a sample of what's out there. Go to Infoseek or some such service to find other resources like these. There are other link lists out there as well; the classic and probably the biggest is Cyndi's List of Genealogy Sites on the Internet. Another very good place to begin is the US GenWeb, organized by state and county.
Most states have archives, and most archives have some searchable index available on line, like this from the State of Ohio.
The University of Kentucky maintains a Kentucky Vital Records Index online, including births, deaths, and marriages. The death index is most useful, covering most of the 20th century.
Another useful death index is the Social Security Death Index, and it's maintained online by a group called Ancestry Home Town. They once said they were going to make it a subscription site, but last I checked, it was still free.
Most censuses are not yet indexed on line (if you find out otherwise let me know.) The 1871 Census of Ontario, fortunately, is.
If you have ancestors from Illinois in the 1800's, like me, you could find them in the Illinois Public Land Sales Database. There are sites like these for a few other states, too, although most states aren't yet online.
For an archive of researchers who have posted to newsgroups, searchable by the surnames you are interested in, go to the Roots Surname List. Very useful.
If you need any more information, have some information about my ancestors you'd like to share, or just want to say hi, drop me a line at prowen@hotmail.com.