Ancestry.com is a subscription ($) service with LOTS of records online. You can create public or private research trees, search records and attach those records to a person or several people in your tree.
U.S. military records are found in a convenient location within the site or you can search specific collections through the card catalog.
FamilySearch.org is a free service with LOTS of records online. You can create your tree, search records and attach those records to a person in your tree.
Fulton History (requires Flash) is a great free site with old newspapers scanned as PDFs. Read about boolean searching on the site; it will help a lot. The site is adding new papers all the time.
Newspapers.com is a subscription ($) service owned by Ancestry.com. The site contains lots of old newspapers.
Fold3.com is a subscription service owned by Ancestry.com. The site contains many military records that are not on Ancestry.com.
Archives.com is a subscription ($) is a lower cost alternative to Ancestry.com for those on a budget.
CivilWarData.com is a subscription ($) service to view American Civil War (ACW) regiment histories, muster rolls, etc. The information does not lead directly to original records but it can be an excellent source of information about an ancestor that served.
CyndisList.com is a huge free "finding aid". This site helps you find records, regional histories, etc.
RootsWeb.com is a free service from Ancestry.com with discussion boards to ask or answer questions by family name, region, town, war, etc.