One important thing to remember as you check for books or CDs on the counties where your ancestors lived is to check for collateral ancestors. Grandpa may not get a mention, but one of his siblings, sons-in-law, cousins, or other relatives might. As you check for those collaterals also remember that they might have stayed put while you guy went West or they might have been the one to go elsewhere.
As I have plowed through sixteen years of research, these books have turned up some real gems.
If you are fortunate enough to have Rhode Island roots, the multi-volume Representative Men and Old Families of Rhode Island (1908) is a great resource. The series has biographies of most of the major families that settled our smallest state. The articles may not cover your direct line ancestor (especially females) in much detail, but you might get three or four generations back on the colonial families. I have hit the jackpot with several families that settled Rhode Island.
I found a brief sketch on one of the brothers of my paternal great-great-grandfather in The History of York County, Pennsylvania (1886). The brother stayed in Pennsylvania as most of his siblings went West. The years of death for his parents were given. So far that is the only mention I have located giving mention of when the couple died.
The History of Hendricks County, Indiana (1885) contained biographical sketches of several of my third great-grandfather's neighbors and a few in-laws. The gem here was in the history of Washington Township. Joseph Faucett was named among the first settlers to the area in 1823.
Chadwick's History of Shelby County, Indiana (1909) included a biography of Marion McFerran. His wife and his father's second wife were sisters and the daughters of Willis and Elizabeth (Land) Gulley. The bio included an extremely detailed account of Willis Gulley and his places of residence over the years, as well as the names of his other children. There were a few inaccuracies in the bio, but it gave fantastic clues to further research.
Two different sources contained accounts of the father of my Hendricks County, Indiana ancestor's father, John Faucett. I basically knew when and where he was born, his Revolutionary War service record, that he moved to Ohio in the late 1790s and then to Indiana in 1823. I had Bible records for the births, marriages, and a few deaths. The years in between John's birth and the Revolution were a vast wasteland!
An Ancestry.com search turned up the names of John, his wife, Joseph and his wife, and one of Joseph's sons, John Fry Faucett (a brother to my great-great-grandfather) in a Kansas County history! John Fry went west. My Benjamin Franklin Faucett remained in Indiana. I made an inquiry and got a copy of the biographical sketch that appeared in the Portrait and Biographical Record of Leavenworth, Douglas, and Franklin Counties, Kansas . The article gave a detailed account of John Faucett's capture by and life among the Indians and a few items on his later life. The article also gave an account of Joseph's birth on an Ohio River flatboat and his apprenticeship as a tailor. All new information!
A fellow researcher had alerted me to a mention of John Faucett in a sketch about John W. Gladden in Indianapolis and Vicinity (1908). Gladden was the grandson of John Faucett. A somewhat different version of the "captured by Indians" story was given by Gladden. The migration of the family was also mentioned along with the names of John's wife and children.
These six county histories and biographical compilations provided new information on direct line ancestors, or provided clues to new areas of research. With the exception of the Rhode Island volumes, most of the articles were about collateral ancestors.
As you are conducting your research on-line or on-site take a look at those county histories and biographical records. Most important, check out the siblings, in-laws, and other relatives as you browse; they could have that valuable detail you've been digging for. Even check out a few of the neighbors. You never know!