Okay, maybe not "never", but tax records have a habit of surviving when other records don't. I'm not sure why but if you have run out of census records you should look to the tax office. A tax record won't tell you much about the family but it can shed some light on their financial situation. And keep track of people that moved around.
Some tax records are online while others are not and probably won't every be scanned. Some have been transcribed but you have to treat those as a secondary source — instead of a primary source — because the transcriber could make mistakes two times: when copying the original record and when typing the informaiton into a website page.
So what will a tax record tell you?
- Head of household's name
- Location (town, county, state)
- Real Estate (if owned) including the number of acres and, maybe, the number cleared and uncleared
- Approximate value of real estate
- Approximate value of personal wealth
- Number of livestock (cows, horses, pigs, goats, dogs, etc)
- Key tools such as a spinning wheel or plough or wagon
It's important to note if the list is alphabetical or not. If not random then you are probably looking at their neighbors. If you are seeing the neighborhood then you can easily compare relative wealth to see if someone was boasting or hiding things from the tax man. In the end, though, tax records help pinpoint your ancestor's location when other records might not be available and help give us more information about their financial status.
Most tax records are at the county tax assessor's office. Old records might be moved to an off site storage location or "hall of records". Really old records might be transferred to a town, county or state archives or historical society. Ancestry.com has published the Red Book: American State, County, and Town Sources online to help you figure out where offline records might be found.