You can search the resources available from the New York State Library, Museum, and Archives from one catalog here.
Most of these resources are for NYS locations. If you are doing research outside of New York check out offerings similar to the ones mentioned for that state.
Your location may not have a historical society but the historical information is somewhere! Other possibilities include:
Don't hesitate to call and speak to the historians--they would love to talk to you! That is why they are there!