This page (which I don't link to anywhere) gets quite a bit of traffic, so I thought I'd mention it here.
Researching Your European Origins Online http://www.rootdig.com/european2.html is a page I use as a part of my lecture on this same topic. It is not meant to be comprehensive and is more intended to be a starting point for further work. Maintaining a page with hundreds of links is not something I care to do, but this is a good place to get started and provides links to pages I use when I'm working on a family from "across the pond."
Mailing lists are especially helpful. The Ostfriesen mailing list at Rootsweb is one of the best around.