Are you building brick walls in your research? Are you putting up road blocks to finding the information you need? Are you overwhelmed by looking for the "big find" and not looking for those tidbits that add up to a solution to your problem?
Let me explain. If you are looking for proof of a marriage, but not finding it, do you become discouraged and decide no such record exists? But what if they married in an adjoining county or even in an adjoining state? Have you expanded your research to include those areas? Limiting your search to only one area may keep you from finding what you need.
If you are looking for the maiden name of an ancestor and, after searching marriages far and wide you have found nothing, maybe it is time to try other tactics. Look at the given names of her children. Does one or more have a name often found as a surname? Could that name be a clue? Have you done any research on the families living near her on the census records to see if they had a daughter of her name? This is especially helpful if the neighbors were born in the same faraway state as your ancestor. Have you checked death records for her children to see if she is listed with her maiden name?
Does your ancestor just disappear, never to be found again? Have you done a little work to see what was going on in the country at the time? Did he disappear about the time of the Gold Rush in California or the cholera epidemic of 1849 or maybe about the times of the Oklahoma Land Rushes in 1889 and 1893? People move for a reason and it could be important to know what events might precipitate a move.
I'm a firm believer in making "To Do" lists, which are really Research Plans. I list what I want to know and then list where to look to find that information. It helps to organize my thoughts and keeps me focused on what I want to know. If I go through the entire list with little to no results, it is time to re-read every bit of information I have documented to make sure it is correct and check for overlooked clues.
If there are still no positive results, I put it aside and work on another family for a while. Sometimes a fresh look will reveal things previously missed. Most of all, don't give up. The information is likely somewhere; you just have not looked in the right place yet.