It entirely depends on what type of historical information one is going for. If you want the raw, primary historical information, then head to the actual places, and speak with the actual people. If you're more interested in how this supposed 'reality' has been viewed and explained, then you're interested in historiography, and need to read the literature, listen to someone 'knowledgeable', etc. I believe museums bridge the two, but, unfortunately, they are often just a little gimmicky.