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Most of my research is done either at the world famous Family History Library maintained by The Church of Jesus Christ of Latter Day Saints in Salt Lake City, Utah or over the Internet.
The Family History Library is the largest genealogical library in the world. The heart of the library's collection is approximately two million rolls of microfilmed records and more than 500,000 microfiche. The collection includes records kept by governments, churches of many denominations, other organizations, and individuals. These records includes copies of church registers, census records, passenger lists, military records, land and probate records, just to mention a few. The library has a substantial collection of records for many areas of the world.
Many records used while doing genealogical research such as Church Records, Census records, Military Records and Immigration Records are now made available on the Internet.
More on Research
It is a lot more efficient to do Scandinavian research in Salt Lake City than in the Scandinavian archives because you have access to the microfilms from 8:00 AM until 9:00 PM, while for example in Denmark you are lucky if you can get more than 5-6 hours of effective research done during the daily business hours of the archive. Another reason it is more efficient to do research at the Family History Library is that you do not have to travel from one regional archive to another because all the records are in one location.
In the unlikely event that the records needed for a research project are not available neither at the Family History Center nor on the Internet, then I do have a number of personal contacts in the old country who may be able to obtain the information there.