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Thanks to the internet, research has become easier than ever before: you can visit websites of various libraries and museums worldwide; you can find collections of primary literature online (e.g. the Project Gutenberg or Google Books); you can order books online; and you can find an enormous amount of pictures and photographs online. So don't be afraid of the research! It's easier than it was ever before.
“There is nothing like looking, if you want to find something. You certainly usually find something, if you look, but it is not always quite the something you were after.”
~ J.R.R. Tolkien
Bookstores / Online Bookstores
booksellers can order any book in print for you
to get foreign books you might also want to try out foreign online bookstores, e.g. the various branches of amazon
browse the non-fiction section of your local bookstore to find books that might come in handy for your future research (over the years I've assembled an odd collection of books, the subjects ranging from the history of parks and gardens in Europe, Scottish tartans, and the medieval warhorse to the history of erotic art, horsewhispering, and the anatomical waxes in the Museo La Specola in Florence)
Used Books Stores
apart from your local used bookstores, you could try e-bay auctions or abebooks
Libraries
online catalogues
library inter-loan system: this enables you to get books from libraries in other cities or even in other countries
old newspapers and magazines often available on mircofilm/-fiche or in digital form
Websites / Online Discussion Groups
RWA's special interest chapters, e.g. the Beau Monde for writers of Regency romances
CDs and Handouts of past RWA Conferences
downloads and CDs can be bought from Bill Stephens Productions
On-site Research
what a great excuse to travel to Britain!
Find a Specialist
people working at museums and specific associations are often willing to share their knowledge