I already wrote about the Root Cellar at the Clinton IA Public Library and what a great resource that has been for me. My second favorite genealogy library is the Newberry Library. I am lucky to live in the Chicago area and have access to this resource. I just need to make the effort to get there more often.
I use WorldCat to find who has copies of books that I come across that might have useful information. I then add the book to one of my library lists (Newberry, UChicago, Allen County, Abraham Lincoln Library). That way I can print out a list of books to investigate before I go to one of those libraries. Currently there are 18 titles on my Newberry list. I really need to get down there soon.
In addition to books and other documents, they also offer genealogy classes. I've never attended one, but it's definitely on my to do list.