Most have photographs detailing the area's history and people. When in doubt, ASK . If you can't find the records you're seeking, they may have been turned over to the local historical society. The clerk will be able to tell you. Do your homework before you visit.
Different states keep records in different offices.
Check out a genealogy handbook to get the details for the state you wish to research. Be open to new possibilities. Think of your research as a chain of clues, with each new discovery pointing the way to a better understanding. It's a treasure hunt, with clues scattered throughout the different offices and records. You've nothing to lose but time.