Books are by far the best way to improve your historical knowledge, providing they are the right sort of book.

When you read a book written by a professor, you are reading the culmination of thousands of hours of work by an expert in their field and although some of the opinions may be contentious they are at least backed up by good historical investigation.

When it comes to youtube, anyone can make a video. The sources are not referenced and there is no mechanisms to ensure that what you are being told has any truth to it.

Documentaries are perhaps held up to a higher historical standard, especially thoughts with respected historians providing their knowledge and opinions but their main purpose is not to provide an histoical investigation, but to entertain and make money for the studio.

TL:DR Read books

To echo something from /u/neoLibertine: there can be good documentaries, but there can be really false ones, and some that may be sort of OK but not great. But then again, the same can be said of books, and I don't know the proportions of goodness to badness in either area. At least an academic press is some indication for a book.

There is an AskHistorians book list. The root page is at https://www.reddit.com/r/AskHistorians/wiki/books , pointing to sub-pages. There's a page on documentaries. Many books have a paragraph of review, which is quite helpful.

Do realize something that took me years to figure out: you are not legally obligated to finish a book that you're not enjoying. For your sake, bail out.

I'm using the library for gorging on history books, and I'm glad. Several of the books I've gotten I've returned partway through when I realized that I'm just not into the subject. Over the years, I've bought over a hundred non-fiction books that I now realize that I'm never going to re-read -- they were not a good use of money. My local library has a Web site where I can search the catalog, put on a hold request (which brings it to my local branch library when it's available), and renew. Through them, I also have access to a lot of on-line databases. I use JSTOR, with electronic access to lots of academic papers. (I can also see issues of a major consumer magazine.)