The hardest thing about a story are the names. A character has to have a name that is modern enough (for whatever timeperiod you have), Hero or Heroine sounding enough, and you have to like it. That's probably the hardest part of naming a character.

www.babynames.com
www.babynamesworld.com
www.babycenter.com/babyname
www.123-baby-names.com

Those handy government sites:

www.firstgov.gov
www.whitehouse.gov
www.fedstats.gov
www.lib.lsu.edu/gov/fedgov.html
www.senate.gov
www.loc.gov/index.html
http://www.cia.gov/cia/publications/factbook/index.html

Travel sites:

www.fodors.com
www.lonelyplanet.com
http://www.firstgov.gov/Citizen/Topics/Travel_Tourism/State_Tourism.shtml
 

General Information sites:

www.en.wikipedia.org
www.history.com