In families like mine, involving exotic surnames and brilliant ancestors, it's not strange that some family members feel occasionally the urge to seek along the branches of the family tree.
One of the first problems you have to deal with, in such case, is how to keep track of the information, accurately and with enough space to extend the tree in all directions. This is what genealogy software is meant for, popularly known as family tree software. In this field, everyone has his own preferences. I'm now using Legacy for Windows, a simple program, yet powerful and inexpensive (legacyfamilytree.com).
The next limitation is on how far we and our relatives can remember. Few people have a certain knowledge beyond their first cousins and granparents. And in this field there's many sources to be explored. Which is best will depend on how much time and money you want to invest on the research. The most direct and inexpensive approach is to use previous studies you may find published on the Internet, but this is precisely the least reliable source, unless a certain conclusion of truth is offered.
One of my last finds, specially useful if your tree spans on North-America, is ancestry.com. This site contains an incredible search engine focused on registry sources, such as census, immigration, birth and death, military, etc. from all over the world, offering a hierarchical, cathegorized approach, and a very flexible way to find people using multiple criteria. If you're not sure of what source to use, the general search tool will let you search all kinds of sources at once. The only problem I've found is that, after three days working in this site, an alert reminded me that my free trial period was over, and that I should pay a fee from now on. The price is quite reasonable, but it all depends on your budget.
Within those three days, I managed to find four unexplored branches of my ancestors, including copies of the original census pages and revealing data that allowed me to keep track of the next ancestor. Right when the research was getting exciting, the payment page appeared, and I decided to take a rest.
If you belong to a North-American family, or from any of the immigrating countries, and are serious about research, and don't plan to travel from church to church, and on to local registries, I strongly recommend this site.
In any case, we'll always have some information left to search on paper, hidden in thousands of local and regional archives, but you'll want to make a preliminary survey so you can plan the route. There's a good site to search this kind of documentary sources at familysearch.org, a site maintained by the Church of Jesus-Christ of latter-day Saints, and that shouldn't be a prejudice considering the well-known interest of this community on roots and lineages.