Basically this is what the London Gazette is for, ie. public announcements it also contains armed forces promotions, national honours awarded, medals awarded etc. I agree that it can be extremely useful.
In the UK for the county of Cheshire I would recommend the Cheshire Parish Register Project at http://www.csc.liv.ac.uk/~cprdb/ . It is not yet complete but has a wide coverage of births, marriages and burials extracted from the Parish Registers for a large part of the county.
Also available are similar sites under the titles name of county On-line Parish Clerk eg. Lancashire On-line Parish Clerk which is the one I'm familiar with at http://www.lan-opc.org.uk/
My local public library provides databases free to library card holders. It is mostly census records that are useful to me, and I can access it right from home!
I also like PAGenWeb for my Pennsylvania research.
I've had a tough time trying to find information on my great grandfather's family. The only things that I know is his name, my great grandmother's name. He had 2 older sons, then my grandfather. Supposedly they were married in Arkansas. I know when they were married, but I can't seem to find anything. I don't want to have to pay for a site and wind up empty handed. I've been told to try to look in census, but it's hard when you only know the names, but no birthdays or about where they might be. I've been told Arkansas and that he worked on the railroad and supposedly went to Texas. If anyone can help me, it will be greatly appreciated. Thank you so much!
Try http://www.resourceguides.net to find access to online vital and census records (free or subscription). I also suggest you find out if there is an Arkansas Group here on GenealogyWise and post your query there.
Remember to work from the present to the past. You should have documents tracing your great-grandfather from his death to his birth, and not the other way around. Try to find him on the latest census record that's available (for instance, was he alive in 1930?) and go back census year by census year. Figure out where his oldest child was born and that may give you a clue as to where (what county) in Arkansas he was married.
Remember, too, that you can rent microfilmed records at a pretty low cost at your local Family History Center. If you don't know where that is, go here. Most records are not available online, but if you find out what county he could have been married in, you may be able to order the microfilmed records through your local Family History Center cheaper than ordering the record from the county or the state. Also, don't forget Random Acts of Genealogical Kindness...someone may be able to look up the record for you, once you narrow down a location and time frame.
The Jackson County, MO Department of Records is a great site for those researching the Kansas City area. They have marriage licenses online up to current day.
The local (St. Louis County) microfilm collection is extensive and has proven very useful.