If you're doing research of some kind and aren't sure where to start, WorldCat.org might be a good place. You can find materials in thousands of libraries across the world (but mostly in the US) including public, academic, corporate, and government libraries, then put in your ZIP code and see if any libraries near you have what you need. Books, CDs, magazines, DVDs--they're all here. You might also be linked to WorldCat if you do a Google Book search and want to borrow titles you find there from a library.
The default is to search everything, but you can also search by specific format. Or if you want to start with a library, click the link under the search box. Depending on the kind of online presence of each library in your results list, you can get to their website or their catalog. There might be a map available, and you can narrow your results by type of library by using the links to the left of the results list. If you're not sure if your library participate in the WorldCat resource, you can find out quickly by doing this search. If your library is listed, then they do participate and you'll find their holdings when you search for materials. You can also search for libraries across the world this way.
Try the advanced search to narrow by topic, author, age level, content (e.g. fiction or nonfiction), format, or language. To use the site in another language, click one of the links at the bottom of the page. Not everything will be translated but possibly enough for you to figure things out if you're unfamiliar with English terms.
Once you find what you're looking for and you see a library near you that has it, you can then click the library name to get connected to their online catalog. It might be a good idea to search for your item at that point just to make sure the library really does have it and whether it's checked in or not. (Unfortunately the link does not open in a new window, but there is a link back to WorldCat at the top of the screen.) In order to actually obtain the item, you'll need to contact your own local library and ask about borrowing it. Chances are the process will take a couple of weeks at best, so plan accordingly.
It's not necessary to create an account to use this site, but if you do (it's free!) you can then contribute reviews or create and save lists. You can also use WorldCat on your mobile phone by going to http://www.worldcat.org/m/ or check out this blog post on how to use your iPhone to scan a book and find libraries near you that have it.