Vital records normally mean birth, death and marriage records. The records before 1900 or so are usually found at the county or town levels, depending on the state laws. After that time, the state governments usually hold them. These three types of primary records are the core of information for most persons in a genealogy database. All other records build around them.
Probate records (e.g. wills, estate inventory, estate administration, estate settlement, etc.) are very important documents because they were closely scrutinized for their validity by a court of law and through the testimony of two or more witnesses (usually non-family members) who knew the deceased. They often give the names of the spouse and children of the deceased along with other useful genealogical information. When an inventory of property is included, it can give a glimpse as to the types of everyday items used by the family along with an idea of the wealth of the family.
See the book The Handybook for Genealogists, 10th edition, by George Everton (2002, Everton Publishers of Logan, UT, $30). It tells, by county within each state, what vital records are available.
Other Useful Primary Records
Immigration and Naturalization: usually give the country of origin, the date of arrival and/or naturalization, the names and ages of each person and often how family members are related.
Land Transactions/Deeds: county or town level, usually establishes relationships between buyers and sellers, denotes where a given person owned land as of a certain date and thus probably lived at one point.
Military Service: usually specifies an age and where a person lived at the time of enlistment, rank and unit assigned, battles fought in, when discharged along with any injuries sustained. The National Archives has most of the military records housed in three facilities around the country.
Passenger Ship Lists: usually gives the name of the ship and its captain, the date and port of departure, the date and port of arrival, the names and ages of each passenger and usually denotes now families are related.
Social Security Death Index: from 1937 (although most are from 1962), gives name, birth date, death date, residence, last payment date, SSN and state in which it was issued. (for free access to this index go towww.americanancestors.org/Search.aspx?Ca=0344&Da=269).
Tax Assessment: gives an idea of the possessions, and their value, owned by a person in a certain place at a certain time.