"Cite your sources!!!" Mrs. Marsh, my 10th grade English teacher, shouted at us over and over again. While I'm not doing a paper on Mark Twain anymore that doesn't mean that I'm done with research. In fact I find myself doing more research for Gaming than I ever did in school, and enjoying it far more.
Research can add depth and a sense of stark reality to your games. It provides rich details, and insights you wouldn't otherwise have to the setting in which the game's adventures take place. For my current Caliburn game I've found myself doing a host of research on everything from Knights to the Black Plague.
We are fortunate to live in the information age. The amount of information we have access to is simply mind blowing if one stops to think about it. Wikipedia, the online encyclopedia, is a perfect example of this. In just a few seconds one can search about nearly anything they want from astrophysics to pistachio nuts. It is a great tool for getting general information and finding refence material to continue your research. Google books is another great research, with over 10 millions books scanned.
Here is a list of books I am using for research for my Caliburn game, while they are by no means all equally useful sources they have all had some important information to offer.
Sword in Hand
The Archeology of Weapons
The Politics of Enchantment
The Landscape of Britain
Archeology of Medieval English Monarchy
Woman in Early Britain
Food in Medieval England
The Norse Colonization of the North Atlantic
the Archeology of Medieval Ireland Armies
For those with less time or inclination for in depth research you may find some shortcuts. For example TSR did some really great historical setting books during 2nd Edition's reign. I've found some very good information in the Celtic Campaign Sourcebook as well as the one for Vikings, Romans, and Crusaders. Books such as these have done a good deal of the research for you and help save a lot of time.