'If you are not used to these places they can seem daunting.'
Other articles (particularly 'Basic Research Tools', see right for link) will tell you in more detail where to go to look for these records, but relevant institutions are located throughout the UK. In addition, places such as the The National Archives and Family Records Centre in London, or the Borthwick Institute of Historical Research in York, have large collections of specialist records for family historians to view.
If you are not used to these places they can seem daunting, but the job of their staff is to help you, and usually there will be someone to get you started. Try to contact an archive before visiting, as they often require you to bring some form of identification. Also they may be able to help even before you get there. Many provide useful leaflets about how to use their resources - essential reading that will make your research life easier.
The sort of records you might be looking at when you have got past the beginner stage could range from the Domesday book, to old tax records and accounts of law suits - but that's for a later stage.