The State Library of Pennsylvania is the place for researching all things Pennsylvania. Its mission statement reads: "The State Library of Pennsylvania provides information for State Government and citizens while collecting and preserving our written heritage through materials published for, by, and about Pennsylvania."
The Library is in the "Forum Building" on the eastern end of the state capitol complex in Harrisburg, Pennsylvania. It is freely open to the public Monday through Saturday, with evening hours on Tuesdays.
Their basic "everything you ever wanted to know about the State Library of Pennsylvania" home page  has links to lots of places, including the Office of Commonwealth Libraries, and to the Bureau of Library Development.
The online catalog  to the holdings of the State Library. Includes books, sure, but also journals, newspapers, electronic resources, microfilm, government documents, and more. Holdings of state hospital libraries, and of the libraries in some state agencies are also cataloged here. If you find something that looks good and your local library doesn't have it, they can probably get it for you using "inter-library loan."
Databases available is a hyperlinked list of online databases  available to anyone physically in the State Library building, or to any Pennsylvania state employees who have gotten a library card from the State Library. Unfortunately, licensing agreements do not allow the State Library to open up access to these databases over the Internet. If you're not in the Harrisburg area, check with your local library for these or similar databases.
Reference Services  tells how to contact the State Library of Pennsylvania with your questions. Link to online request form; phone number for the reference desk; address for snail mail.
New Items Added Over the Last 2 Weeks  generates a list of items added to the State Library's collection over the last two weeks. Some items are old; some items new; most can be borrowed. They are in alphabetical order by author.
For further information  there is an unofficial web page on Squidoo that has links to online historical materials about the State Library of Pennsylvania, and pictures that are hosted on Flickr.