A basic rule of family research is to start with what you know and work backwards through time. But a few years back I heard a talk by Megan Smolenyak Smolenyak where she defended a sort of accordion style of research where we sometimes hop over a generation then work our way back toward the present. It is a style that suits me well. I recall my mother playing the harmonica as I do this because researching like this is almost like breathing in and out to hear the music of our ancestors' lives passing through time.
A helpful tool to keep things straight is with timelines. I start each one with a birth or a marriage. Some of my timelines run to 50 pages because I attach my sources to them as well. I'm hoping this will help when I'm ready to write my family histories.
A fun way to see what was happening in the world when your ancestor lived in on http://www.ourtimelines.com/
Just plug in your kin's birth and death dates and the site generates a world events timeline.