If you haven't seen it already, the UK National Archives website is well worth taking a look at. The site as a whole offers a wealth of resources, but in particular there are a series of podcasts which are targeted at family history researchers.
Topics covered range from discerning your forefathers' wealth to tracing ancestors on the Titanic. There is, of course, a strong British focus to the recordings, but much of the research is helpful beyond the UK, and particularly for Commonwealth countries such as Australia and Canada. These podcasts are well worth having a listen to if you get the time.
Search for your ancestors: