A good place to start.

While trying to trace my Jewish Hungarian Roots I found a couple of very good sources for how to get started and where to look for records.

Jewish Web Index

http://jewishwebindex.com/emigration.htm

Center for Jewish History in New York

http://www.cjh.org/collections/genealogy/factsheets.php

The center is worth the trip to go there and do your research, it's best to plan ahead and try to be there in the AM. We only got through 2 micro films, because we arrived afternoon, but did confirm that my grandmother and her siblings were in the Hebrew Orphan Asylum.  It only cost us 25 cents per copy to copy what we found.