There are many online sites that can help with genealogical research. The following is a list of some of the better sites, with an emphasis on Jewish sites.
Ancestry.com: The largest genealogy site. Lots of actual documents, including census data and immigration lists. Costs ~$150 per year, but is free at the library!
Ellis Island: If your ancestors came by ship to New York between 1892 and 1924, they are very likely listed here. The site’s Genealogy page has lots of good links.
Steve Morse.org: An alternative site for searching Ellis island and other sites
Yad Vashem: Records of all documented holocaust victims. The Pages of Testimony are particularly useful.
JewishGen mailing lists: Join a mailing list, and get your questions answered and see what other people are looking for.
JRI-Poland: A volunteer based site that is transcribing and putting online all Polish Jewish records.
Geni.com: A good place to start. Here people can post their family trees and connect them to other people’s family trees. Lots of data here, but since anyone can add whatever they want, there is also lots of incorrect data.
Family Search: The LDS (Mormon) site. Can search their catalog of microfilmed records; they also have lots of databases.
Google: A good stating place. Search your ancestor’s names; see if anyone else has posted information about them.
Facebook: A good place to find living people, especially those with less common names.
Cyndi’s list: A list of every genealogy site she could find. A bit overwhelming, but can be useful.
Avotaynu: Publisher of Genealogical journal, Avotaynu, and books. Avotaynu Guide to Jewish Genealogy is recommended.