Primary documents (painting, photographs, letters and diaries, fan sites, blogs, youtube video, and sound recordings) can be found abundantly by using any standard web search engine like Google. However, the library catalog and WorldCat (see below) can be good sources primary documents published in book form.
See also the footnotes of secondary sources, which often will point to primary documentation.
For tips on citing print and electronic sources, visit Trexler Library's Citation Guides for Print and Electronic Resources.
Or visit the Online Writing Lab at Purdue.
For help with annotated bibliographies, visit Purdue's Online Writing Lab for definitions and format of an annotation.