Burke's Peerage and Gentry allows you to find ancestors who were of some royalty here in the United States as well as in England, Scotland, Ireland, and Wales. Burke's Peerage is  useful because it contains more detailed information about the ancestor of each peer and his family.

Ancestry.co.uk is a website that is specific only for the United Kingdom (UK). It contains records for England, Wales, Scotland, and Ireland. Check this out and see what types or kinds of records are available to you in your country(ies).