The first entry is closest to home: List yourself with your date and place of birth. Then do the same for your parents and any spouse, siblings or children you have. Then move on to each set of your grandparents, giving them each their own sheet. After consulting any living relatives, you should take a path that might be so obvious it would never occur to you: See if anyone else has done research on your line. Online Family History Centers are a good place to check. Also check local resources such as the tracking of births, deaths, deeds, marriages and wills. Document all sources.
Census and National Archives
Census records could prove invaluable in your search for information. During 1790 to 1840, the census only documented the head of household, but starting in 1850 all members of the household were profiled. (Note that the majority of the 1890 census was destroyed, and there is a 72-year restriction on accessing the census.) You can perform this search in person at any affiliate branches of the National Archives, and the original documents are available in microfilm. The National Archives consist of documentation from every branch of the federal government, so knowing any interactions your ancestors had with government officials can be key. The National Archives has records for military service, immigration, naturalization and land records. Even your local library can be a source of great information as multistate genealogy sections are becoming more commonplace. Soundex is the standard format of the Census Index, and you will need to convert your surname to Soundex code.
If you are looking for a particular ancestor and information seems limited, seek help on the USGenWeb page about where they lived. If you are unfamiliar with the area, doing research on the history of the area when the ancestor lived there can help you with further queries. If you want to be extensive, any person in the family who has been married more than once should have a sheet for each spouse and their immediate family members.
Computer programs specialize in genealogy and can help organize the wealth of information you will collect. Make photocopies, keep a master copy and organize your records.