Before you move on to finding these vital records I suggest reading a very excellent article, JGSS - Introduction to Vital Records. It will answer many of the questions that you might have.
Having emphasised the importance of documentation, the question is where do you get these documents? Because you are starting with the most recent ancestor that you do not have the basic (birth, death and marriage) records for, you will be armed with most of the geographical information you need for locating the documents. Start with the death record and work backward. The more recent the date of the record, the easier it is to obtain it.
Where these records are located vary depending on the country, state, county, and sometimes city, as well as the date. An excellent place to start your search is at theVital Records Information for United States (birth, death or marriage certificates). On this page you will find a list of US states and territories. The information about state records is very thorough, providing information about where you can find records by dates. It also includes order forms, and the price. For links outside the United States see their web page Vital Records Information - Foreign Vital Records Links.
Fill in your record gaps with the easiest ones to obtain. The clues they give may open doors for your research.
To keep track of the records you have sent for Ancestry.com has a downloadable Corresponence Record form.
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