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Indiana became a territory in 1800 and a state in 1816, but there wasn't an official collection of vital registrations until 1900. That's when you can expect most Indiana genealogy documents to date from.
Indiana Vital Records
There are pretty strict privacy rules about issuing copies of vital records in Indiana so you may have a bit of red-tape to work through when looking into Indiana genealogy.
Birth records are permanently confidential, regardless of the document's age. So you can only access copies of a birth certificate if its yours or a close relative. Their definition of "close relative" includes grandparents as well as aunts and uncles. If you need a record of a non-relation, you will have to hit the archives or church records and try to find the information from another source.
Death records aren't so bad. They become public domain after 75 years. Until then, they are only issued to the same relations as the birth records. To make a request for a copy of either birth or death records, you can download the forms from the Department of Health website. You'll need all the relevant information on the record you want (names, dates, locations) as well as your own contact details. You also need to supply a clear photocopy of your photo ID. With the forms, you have to include the current search fee ($10 for birth, $8 for death).
Send everything to the Vital Records section of the Department of Health in Indianapolis. Expect a 3 to 4 week wait for your Indiana genealogy documents to come back.
If you are looking for marriage records in Indiana, there is no central office for those. Contact the county clerk's office where the marriage was registered to order copies. They will all issue copies but the specifics (forms, fees etc) may vary from one county to the next so ask about the process.
Indiana State Library
Not all good records come straight from a government office. The state library has a large collection of material that can yield quite a bit of genealogical information. They have census records, cemetery transcriptions, published family histories, military documents, passenger lists and more. Some of their indexes can be searched via their website but most of their material will require an in-person research visit. They are located in Indianapolis, and have standard opening hours (including Saturdays).
The library also subscribes to several large genealogy websites that will be able to access while you are there.
Another way to continue your Indiana genealogy research is to either join or just contact the local genealogy societies. They can be helpful just to get in touch with others on the same track as yourself, and most groups have their own private collections of records that you can't see anywhere else. The Indiana Genealogy Society covers the entire state, as does the Indiana Historical Society. There are also a number of smaller groups that deal with each county specifically.
State Resources Sites
Death Records and Obituaries
Online Books, E-Books, Books on CD, and Other Books Available