It depends on what sort of material you are looking for. Some archives offer fairly robust access to digitized materials, especially easy-to-scan things like newspapers. The Library of Congress's "Chronicling America" series is a good example. The overwhelming majority of archival material, however, is not available online and requires an in-person visit. Many archives DO have their catalogs and finding aids on line, so in many cases you can at least see if they have what you're looking for. They may be willing to make you a scan of what you need for a fee, if their rules permit it.

If you know what archive has the material you need, start with them. Also search on Worldcat - it can occasionally find archival material that's available online.