Generally you get records of birth, death, marriage, divorce and other vital records from the relevant agency in the state where the birth, death, marriage or divorce took place. For specific instructions, including information on what to do when these events happened abroad or in unusual places (e.g., on a ship), check out the National Center for Health Statistics' Where to Write for Vital Records. Note: "Where to Write for Vital Records" is also published in The Lawyer's Almanac and the American Jurisprudence 2nd Desk Book.
You can order a birth certificate on on expedited bases through www.officialtraveldocuments.com.
Marriage and divorce records are available for selected states through Accurint, Vitalsearch, Lexis and Westlaw.
See also the Guide entries for individual states and cities.
Death Records: The Social Security Death Index lists people who were receiving Social Security when they passed beyond this veil of tears. The Index is posted free on RootsWeb.com. It is also available through Ancestry.com and Lexis (FINDER;DCEASE). There is a similar database on KnowX.com and Accurint.
Lexis and Vitalsearch have death record databases for several states. These database also cover people who were not receiving Social Security when they died.
Another approach: Try to find an obituary. Obits could are most likely to appear in a newspaper for the person's last residence or hometown. If the person was notable in his or her field, an obit may also appear in a in a trade journal or newspaper. Of course obits for celebrities appear in general circulation newspapers. (Sources for obits are discussed in the "Obituaries" entry.)
The Online Searchable Death Indexes & Records provides links to state databases, online obituaries, cemetary records, tec.
If that doesn't do it, and you have some time, you can contact the relevant government agency (as discussed above) to get a copy of the person's death certificate.
England and Wales: English and Welsh birth, death and marriage certificates from 1837 to two years ago are available from 1837online.com.