Here are a couple of sites you might want to check out.
Quickly becoming one of my favorite free sites for genealogy is FamilySearch
This is sponsored by the LDS Church and is now a favorite with genealogists. I have been using it for some time and have been pleased with the results when I type in the names of my ancestors.
If you have Indiana ancestors, a site to check out is Indiana National Guard 1898-1940 This is a searchable database.