I'm often approached at the end of a presentation at a meeting or conference and asked for advice for solving a research challenge. A person will launch in with something like, "I've been unable to find my 3x great-grandfather and he's a complete brick wall. Where should I look?"
I have to stop the person and ask, "Where do you think he lived? When do you think he was there? What are you trying to prove or disprove?" I need to understand the context first before I can even begin to offer any suggestions. It is imperative that I know the place and time period: that determines what geopolitical entity was in power, what records were being produced at the time, and makes me consider boundary changes and other events that might influence the research approach.
Sometimes the responses I get from a person make me wonder if he or she had really focused on the context of the ancestor's circumstances and/or developed a research plan. The research plan would need to concentrate on time, place, historical and personal events, records being produced, and later jurisdictional changes that influence where the records WERE produced and WHERE ARE THEY NOW?
It's easier these days, with the tsunami of new records being made available online all the time, to get pulled into a mode of reacting with rapid research. This can undermine the time we take to thoroughly analyze each record, and to relate it to others. That means we may miss apparent connections, we may not develop thoughtful hypotheses, and we probably don't prepare (or revise) a viable and potentially successful research plan. We may also rush to conclusions without considering the whole picture.
Don't get me wrong. I absolutely love talking to people at seminars and getting these questions. They make me think outside my own research box *and* to use my more than half-century of experience with thousands of research record types and content. And what I will always do is ask you to step back and ask yourself the questions that will help place your ancestor into temporal, geographical, and political context. I hope you will do that on a regular basis. Refer to Cyndi's List and to the FamilySearch Research Wiki for ideas and references to records and methodologies.
And take the time to read, analyze, and understand every record you encounter. Compare and relate it to other evidence you may have (or will) encountered. And develop a research plan, no matter how small, to focus yourself on success.