The collection and analysis of primary sources is central to historical research. A primary source can take many forms: letters, memos, newspapers, diaries, film, photographs, speeches, government reports, British parliamentary debates, sermons, magazines, web sites, etc. Often they are created during the time period which is being studied (correspondence, diaries, newspapers, government documents), but they can also be produced later by eyewitnesses or participants (memoirs, oral histories).
You may find primary sources in their original format such as in an archive. You may also find them as recently published book collections (often called a "documentary history"), microfilm, electronic databases, digitized images, etc.