Archaeology! It's critical for understanding most premodern societies, and it can enrich what we know about modern societies as well. Archaeologists don't typically write like historians, and they're often interested in very different things, so simply approaching their reports and publications from a historical perspective often opens up whole new ways of understanding the past.

For the medieval past, for example, Robin Fleming has completely reframed how we understand post-Roman Britain by examining the diversity of the rich archaeological evidence rather than the drawing broad generalizations from our few and scattered texts. For the more recent past, I think James Deetz does a particularly wonderful job explaining both the methods of historical archaeology and the stories that archaeology and archives combine to tell us about colonial New England.

American contexts (not altogether from many medieval contexts) often generate people who live on the fringes of texts. That is to say, there's lots of people who are partially documented, but due to their race, social class, or way of life, they don't appear in common records like tax assessments and baptismal lists. Many researchers turn to ethnography (thinking more broadly about culture) and comparative history to fill in the gaps. A few excellent examples I can think of: The Unredeemed Captive about the daughter of a Puritan minister who (gasp!) converted to Catholicism and married a Native American in French Canada; Domingos Álvares about an enslaved African who gained his freedom as a vodun (voodoo) priest but eventually ran afoul of the Portuguese Inquisition; Epic Journeys of Freedom which looks at enslaved Africans who escaped during the American Revolution to secure their freedom among the British.

I really think that figuring out how to fill in these gaps is one of the most challenging and exciting aspects of historical research. Some historians address this by looking for actors that we typically don't pay attention to in our sources. Others read against the grain to investigate what documents tell us about the assumptions of the people who made them. Others turn toward material culture through archaeology or art history. Others turn to ethnography and oral histories. And others go in different directions altogether. It depends on what source base is available, what research has already been done, and what questions you're interested in asking.