For some of my books (e.g. Cryptogryph The Da Vinci Machine) I have researched a very specific time in history, viz. 1851- 1853, and set the book in specific places, in this case, London, Venice and Leipzig. Also, Steam Submarine is set in London in the 1930s, and I did go to great lengths to make sure everything was legitimate, while of course changing some details to account for the book being set in a slightly different universe from ours.
For some particular resources, as I said, Google (or some other search engine) is essential, such as maps. There are an awful lot of historical maps online.
http://www.london1851.com has a great map of London in 1851.
The Perry Castaneda Map Collection has some great maps of the world:
Gale New Vault is a great resource, which contains newspapers going back to the 1600s.
However it is not free. Many libraries can offer access to this resource, though.
In Australia you can apply for a library card for the National Library of Australia here, they send it out to you, it takes ?a couple of weeks from memory.
And that gives you complete access to Gale News Vault and many other online resources:
A whole lot of old books are available at the Internet Archive as pdfs, it is usually the first place I will go to, to find a book older than 50-75 years. I found the catalogue for the 1851 Royal Exhibition here, and lots of other helpful books too:
Ironically google searches it better than it searches itself, so put
<name of book> <name of author> site:archive.org
into google and you'll probably find it.
Of course for the etymology of a word, you just need to google it. But 9 times out of 10 the best information will be from this site, Etymology Online:
Now to find out when in history a particular word was used, this is a brilliant tool:
Reading books, looking at scans of books and documents from the old days can be a very rewarding activity in itself.
For Greek and Latin, including good translations and dictionaries and lexicons, Perseus Tufts:
An interesting one I just discovered. The Electronic Text Corpus of Sumerian Literature - this has translations of bundles of documents, too. Interesting not only for research for fantasy books, but also for context of the early part of the Old Testament if you're interested in that subject: