Begin your research by talking to your oldest living ancestor.  If you've a grandmother, great aunt or uncle or even better great-great ancestors living, talk to them.  You will be amazed at the wealth of information they have.  Many can remember not only people and events from their childhood, but also remember the stories of their parents and grandparents. 

Don't rely on your memory, invest in a micro-cassette recorder and record their conversations.  This will also become important as you provide documentation (sources) for your research.  In my own case, I began talking with my father's older brother who had a wealth of family history gleaned from his hiding as a small child behind the bureau and listening to the "grown folks talking."  Don't delay in talking with these elders.  The years are passing fast and often, before we know it, these elders will pass away, taking with them the wealth of information stored in their memories.
 

Approach all of your research with a non-judgmental approach and assure all those with whom you speak, that you are only attempting to document your ancestry, not to make any judgments about behavior or lack thereof.  In your research you will undoubtedly incur "illegitimate" births, "mixed" marriages and even criminal behavior.  Your role is that of researcher, not judge or clergyman.   Tread gingerly when these subjects arise while talking with your family.  What is common and accepted today may still be  considered unacceptable and even shameful to your older relatives. 
 

Invest in a good genealogy software program, such as Family Treemaker™, Roots Magic™, Ancestral Tree™, or any one of several others.  I have always used Family Treemaker and feel personally it is the best that's out there.  There are free programs out there, but as with most things, you get what you pay for, imo.  Regardless of what software you choose, back-up your family file often.  Store this backup on cd-rom or on another computer.  Do not store your backup on the same computer as your program. The hard drive on my laptop computer crashed recently.  Had I not backed up my family file (to another computer), more than 20 years of research would have been lost! 
 

Don't attempt to do both sides of your family (maternal and paternal) at once, keep the two separate.  This is important because as your family tree grows, you will become overwhelmed attempting to manage it all.  And, your mother's sister's husband's sister is not really related to your father. 
 

Document, document, document.  Don't rely on your memory.  If you find information from another, outside source, verify the information and document the source.  Many researchers have eagerly added information obtained from someone to their family tree only to later discover the information was erroneous or in error.
 

Allow for misspellings of names in public records such as the census.  I searched for many years for my great-grandfather, knowing the surname was spelled Cottrell.  When I searched for the soundex version of Cottrell, up popped Great-grandfather Granville Cottrell, spelled Granvile Cotrill in the 1870 census.  In another, I found him as Granvil Cotrible.
 

As with names, there are also errors in racial classifications in older public records.  African-American ancestors may be classified as Mulatto, Colored or even White in various censuses.  Caucasian ancestors are also sometimes labeled as something other than White.  Native American ancestors may be listed as I for Indian, C for Colored and even B for Black.  Relax, forget your assumptions and what you think you know.
 

If you find an ancestor in one county in one census, but cannot find them in the same county in the next census, check neighboring towns and counties.  In earlier times, people rarely moved far away from their home towns.
 

In earlier times, diseases that are curable today were fatal, e.g., pneumonia, tuberculosis, influenza and others.  There were periods when cholera and influenza killed thousands in one town alone.  If you find a person listed in one census, but cannot find them in any others, consider that the person may have died.  Check the death records for that time period. 
 

Don't think you are going to be able to do all of your research online and by talking to relatives.  If you don't find a record in a census at one site, don't assume you won't find it in a census at another site.  You will definitely have to travel to libraries, vital records offices and the like.  Be prepared when you do.  You will quickly be overwhelmed by the vast amount of information contained in these public offices.  One clue will lead to another and that to even another.  You'll quickly forget that the main reason you went to the library was to discover the date of your grandparents' wedding!  Make lists of specific tasks, concentrate on those tasks and make plans for future trips.  I spent two full days in the Library of Virginia and didn't scratch the surface of what they have. 

An additional note about census records.  Most of the 1890 census records were destroyed or badly damaged in a fire at the Commerce Department in 1921.  Only approximately 1% of the census records survived the fire.  For a list of the surviving schedules, see Surviving 1890 Census Records. 
 

If you're fortunate enough to have old pictures, find out who is in the picture, the date and location of the picture and LABEL it accordingly.  Your grandmother may know that the picture is of her, her cousin Jake and Aunt Mabel, but when grandmother passes away, the people in that picture will become anonymous.  The same can be said of current pictures.  You know everyone in the picture but will your grandchildren know 30 or 40 years from now?
 

START WITH YOURSELF AND WORK BACKWARDS.  I cannot stress that enough.  I met a woman who decided to start with her great-grandmother and work forward.  Her family tree consisted of two generations.  Genealogy is about ANCESTRY.  The first name in your genealogy software should be your name, then enter your parents' names and their parents' name and so forth.
 

Lastly, relax and enjoy your journey.  It is, indeed, a fascinating exploration!
 

If you have any questions, please do not hesitate to send me an e-mail.