I've been lucky with my research, in that my ancestors stayed put and that I live within a few hours drive of most of their homes. That means that, without a tremendous amount of effort, I can access their records. Other folks aren't nearly as lucky. I've been working on the genealogies of a few other folks lately who live half a continent away from their ancestors. Every day more and more records come online, but it's not nearly everything. But there are a few ways that you can actually bring those records to you, rather than having to go to them.
I'm surprised that I run into researchers quite often who don't know about some of these resources, so I thought I'd share them here.
WorldCat and Interlibrary Loan
WorldCat.org "is the world's largest network of library content and services." It's a way for you to search a ridiculous number of libraries to find the book (and more) that you are looking for.
Put in your zip code, and it will tell you the closest library to you that houses the book. If there isn't a library near you that has the book, contact your local library and see if they can order the book through Interlibrary Loan. Whether or not you can get the book will depend upon the policies of the two libraries, so you might try and look over the website of the library that houses the book to see their policies. You might also find that the library will do a research request for you.
You can search WorldCat in a variety of ways, from title and author, to subject and keyword. Make sure you do a thorough search and, when you find something you like, use the links within that listing (author, subject), to easily find other books.
catalogue to see what microfilm they have in their vault - which you can have shipped to a Mormon Church near you to view on their microfilm machines. You do have to pay $7.50 for each film you borrow.
Search for items of interest in a variety of ways, including location to subject, for best results. When you find a microfilm you'd like to borrow, click on the Film/DGS link in the blue box title "Film Notes." From there, it's a very simple process to complete your order. I haven't requested any microfilm in a while, but the few times I did it I found the local church volunteers very friendly. They had a genealogy room with a couple of computers and microfilm readers. The hours are sporadic, but not during church hours. At my location, there was a backdoor with a doorbell and clear signage for the many non-church members who visit.
If you haven't used these resources, please check them out. It could save you a trip across county - although I know you really want to go anyway.