I usually start with Ancestry and FamilySearch; then I check the state I'm researching for government or state genealogical society sources; then go down to county if there is no state database for what I need. In addition to Linkpendium, don't forget Cyndi's List.
See Family Tree Magazine's Best Websites lists (here's 2012)www.familytreemagazine.com/article/101-best-websites-2012
I also use Joe Beine's deathindexes.com to see what's online for deaths. If you go down near the bottom of his page, there is also a link that says "Genealogy Records and Resources" which links to births and marriages.