Primary sources, I feel, are a writer's best friend, especially a historical writer.
I collect Victorian diaries and journals, written mainly by women who have arrived in Australia after leaving England, but also by women born in colonial Australia. These diaries give me an insight to how they lived and what was happening in the world around them at that time. From their personal entries, we can learn what was important to them, their daily routine, their views and opinions. They can also lift some of those myths we in the modern world tend to think as true.
Diaries aren't the only primary source available to us. We have so many musuems and art galleries. I love studying paintings of the different eras and visting museums that have wonderful displays of every era.
We should be visiting our local or state libraries for books, letters, newspapers and articles written in the eras we write. Naturally this is difficult for those writing in the ancient periods, but those of us who write about the last few hundred years have sources available and we need to use them.
If you are writing about the area where you live, join your local historical society, where as a member, you can study maps, paintings and photos are that district. Also the local councils will have documents and maps going back years.
It is not always possible to visit your chosen setting, but if you can visit, make sure you don't simply go to the main attractions, like a castle, etc, but find the time to visit the graveyard of the local church, sit in a pew and study the stain glass windows, lay by the river and absorb the surroundings, listen to the birds sing, the insect buzz and imagine what it would be like in your period. Walk the back streets of the village or town, find the oldest parts and touch the walls of the buildings and think of nothing but how your characters would have lived. Would their footsteps have walked where yours have?