In the United States, generally speaking, each state has jurisdiction over the government records that are kept regarding their inhabitants' births, marriages, deaths, divorces, land transactions, probates, health, disease, education etc. They are not responsible for private record-keeping efforts such as those done by churches, cemeteries, community groups, companies, businesses etc. The federal government oversees the taking of the national census every decade, but not of state censuses. Certain cities have also participated in early record-keeping efforts even prior to their state's commencement of such things. And then there are numerous other entities involved with keeping records; these include shipping lines, publication companies (city and county directories, and phone books), orphanages, hospitals and military organizations.
If you are researching your genealogy in Pennsylvania, then this article is for you. Since all states have essentially the same basic types of federal records (census and vital or civil registration), we will devote this article to sources that are specific to Pennsylvania genealogy. Much of the information I give in this article comes from Val D. Greenwood's The Researcher's Guide to American Genealogy (2nd Edition, 1990), a standard in its field, and Footnote.com. This is not a complete list of sources.
Pennsylvania is one of the original thirteen colonies and, as such, has very early records. Because it was the destination of so many immigrants, many of whom were farmers, there are extensive lists of inhabitants and land records. Because of its location, people from Pennsylvania were involved militarily in many wars as well. Philadelphia was also home to the Continental Congress and the largest port at the time. All these records are valuable to Pennsylvania genealogy.
Perhaps the best source for Pennsylvania genealogy, although now not an original one, are the papers kept at the Pennsylvania Archives in Harrisburg. The Pennsylvania Archives, as the publication is called, was one of the first sources made available by www.footnote.com, which may give you an idea of their value. Please remember that any typed or printed source is susceptible to typographical errors but is valuable nonetheless. The Pennsylvania Archives contains military, tax, baptisms, marriages, land records, oaths of allegiance, election returns, and papers of the governors from 1664 to 1935. Elissa Scalise Powell has written a great description of the 138-volume, 10-series collection of early private, church and government records, which I refer you to. Genealogists can access Pennsylvania Archives and her description for free at Footnote.com (http://www.footnote.com/page/88_the_pennsylvania_archives/). Footnote provides a name index to make your search easier.
Another secondary source is periodicals. Of value to researchers of Pennsylvania genealogy are the Pennsylvania Genealogical Magazine and Pennsylvania Magazine of History and Biography. Some of these are indexed. The Pennsylvania German Society has published Emigrants from the Palatinate to the American Colonies in the Eighteenth Century, and Otto Langguth, with the assistance of Donald H. Yoder, published "Pennsylvania German Pioneers from the County of Wertheim" in the Pennsylvania German Folklore Society Yearbook, Vol XII. Yoder also published Emigrants from Wuerttemberg: The Adolf Gerber Lists.
Don't forget local libraries, museums and historical societies. Many of them are now transcribing cemeteries and putting them online. Some of them have collections of photographs, including individuals and battle scenes. And most of them have many local records in their keeping. Newspapers can also be a valuable source for Pennsylvania genealogy. Church records may still be in the care of local ministers or congregations but they may also have been deposited in religious libraries or societies. Quaker records are held at the Friends Historical Association in Haverford and the Friends Historical Library at Swarthmore College. Greenwood's book has a comprehensive (as of 1990) list of depositories.
It is surprising how many of our ancestors lived in Pennsylvania at one time or another. I personally have ancestors who moved to Canada and others who moved to Washington State from Pennsylvania, and some who still live there. For me, the Pennsylvania Archives has been a great source of information prior to the 1800s.