I've been haphazardly sending off for a death certificate or a marriage license or a birth registration when I was working on a certain ancestor or just happened to think of it. I realized it would be more efficient to send all the Kansas requests, for example, at one time so that I just have to make one copy of my identification, write one check, mail one envelope, etc. That led to making a spreadsheet for all my ancestors who had lived in North America to show whether I had their government birth, marriage, death, and probate records so that I would know which ones to send for. I added a column for naturalization since it is a government record and one for burial location since it is so closely linked to the death record.
Here's the link to my spreadsheet if you want to download it and do something similar.
This exercise really helped me see 1) which records I can send off for right away and 2) which things require more research. I was also surprised how many I had already gotten.
I learned a number of things in doing this work.
a) Many counties kept vital records long before states did. Some of these have been scanned and indexed online by Ancestry or FamilySearch (images are rarely online) and some images are available on microfilm from the Family History Library. The originals are in county courthouses.
b) The FamilySearch Wiki for individual states and counties is becoming a great resource. Not long ago, most of the pages were stubs, but now this resource has become a quick way to find start dates for county and state vital records, as well as links and other information. Just google the state or county that you want, e.g. "Oklahoma FamilySearch Wiki" or "York County Nebraska FamilySearch Wiki."
c) If you google the name of the state and "vital records genealogy," you usually get the state's web site for ordering vital records. You need to add the word "genealogy" because most of the work of these agencies relates to current birth, marriage, and death certificates. (I'll never forget standing in a line of very affectionate couples waiting to get their marriage licenses so that I could request a 1906 death certificate in Fort Bend Co., Tex.) You have to download, print, and sign and mail a form and include a copy of identification
d) The process for Manitoba and Saskatchewan is quite a bit simpler - you can search an online database, add the records you want to the cart, and download a request form with the file numbers you are requesting already printed on it. Oklahoma is moving to a system like this in 2017.
e) Don't forget that there are other sources for these events as well that substitute for missing government records. Church records usually give birth, marriage, death, and burial information; so it's important to find those as well. Newspaper obituaries give death dates and often burial information. Diaries and letters are good sources as well.
I've got a list of vital records to request now and a more efficient way to do it. And hopefully this will motivate you to make a list of your own.