Historical government information has not all been digitized. There is a wealth of information that remain on the library shelves. The US Census, especially, still has a great deal of essential material only in print.
The US Census is accessible only through print materials for any census prior to 1990, though there are some un-official online resources. The University of Virginia has an online historical census browser that covers the years 1790-1960, accessible here. If you're looking for the print versions of a particular census, search the LMU catalog for "Census."
There is also a number of secondary source material that take data from the census and analyze it for trends and theories. See below for a selection of secondary sources available from the LMU library.
National Archives
The National Archives, which keep official records for the United States on things as diverse as military service records and the Constitution, has a wonderful digitized collection of historical documents. The documents include the Declaration of Independence and Bill of Rights, but also the Emancipation Proclamation, the Social Security Act, and Brown v. Board of Education.
League of Nations Documents
Northwestern University hosts a website that contains documents from the League of Nations, the forerunner to the United Nations that arguably had an important impact on United States foreign policy.