I've been doing a lot of it the past couple of years, for Out of the Water and Rome, Rhymes and Risk, both set c. 1492 in the Mediterranean. (And also quite a bit this past week, as I'm still in the midst of tying up loose ends in Ayten's story.)
I love researching historicals, and learning new things about the time periods my characters happen to be in. Bring on the square brackets!
And keep reading - you never know when something you read, even if it's not directly for research, will lead to an important fact that's relevant for your story. You might also come across weird information. I've listed some of my odd searches before, for Rosa's story and for The Face of A Lion, Austin's story.
Now, here's some what I've Googled or read about in primary and secondary sources for Ayten's story and for my shiny new idea:
Rome, Rhymes and Risk (15th Century):
metalwork and trading
marriage and burial rites
more parts of ships and nautical terms (these never stick in my head)
clothing in fashionable Roman homes
Cem, the exiled brother of Sultan Bayezid
layout of the town of Cadiz
hills and villages on the mainland beyond Cadiz - where would one be taken if one had the misfortune to be kidnapped?
donkeys and horses and mules, oh my! (Adam Heine's got an awesome reference for horse travel times)
untitled shiny new idea (modern day, but featuring a 1000+ year old curse/legend):
druids and their tombs
Welsh myths and legends
Cornish myths and legends
archaeological key words
fairy tales, especially genre staples for Beauty and the Beast tales
noble families of England, Scotland and Wales
...and that's just the beginning! I've also looked up mythical sea creatures. Which is why I'm sharing this image of Cthulhu, especially since I haven't featured him on the blog before:
Author Elizabeth Chadwick recently shared her historical research notes from an Institute of Historical Research workshop.
What crazy things have you investigated?