Both Australia, England and Scotland have National Archives. Mahoosive great buildings that store thousands upon millions of documents/records pertaining to the Nation's past. We are so lucky that so many of these documents are being digitised - it's a slow, expensive project but it has already made my job easier. The National Archives of Australia (NAA) has a searchable online database, through which I have found and ordered (for a sum) records relating to the family.
Free for all, I strongly recommend checking them out: http://feeds.feedburner.com/TheNationalArchivesPodcastSeries