For instance, I want to find data in the advertisement industry. Specifically, I want to see how advertisements have changed over the years.

First thing I always visit is relevant Wikipedia article and I assuming it would point me to the right datasets or websites. If not, I visit the national government websites and see if they track any relevant data. But if I still don't have anything, I am usually clueless. I do some random googling, but since it's so hard to find things when I don't know exactly what I am looking for, it becomes daunting.

How do you guys go about it? Not just for advertising but for any domain?