The most common issue is the relatively recent vintage for state mandated vital records. It is usually quite a surprise to beginners to find out that their ancestor who was born in Arizona in 1880 doesn't have a birth certificate. It was not generally the practice around the United States to issue either birth certificates or death certificates on a consistent basis until well into the 20th Century.
Massachusetts is an example of a state where the vital records date back into the 1600s. Most of the early records were kept in local records. Many of these local records were compiled into state records by the mid-1800s. For that reason, you can find collections of birth, death and marriage records dating back into those early years. Here are some of the collections from FamilySearch.org:
- Massachusetts, Births and Christenings, 1639-1915
- Massachusetts, Births, 1841-1915
- Massachusetts, Deaths and Burials, 1795-1910
- Massachusetts, Deaths, 1841-1915
- Massachusetts, Marriages, 1695-1910
- Massachusetts, Marriages, 1841-1915
- Massachusetts, Springfield Vital Records, 1638-1887
- Massachusetts, State Vital Records, 1841-1920
Even though the Massachusetts records go way back, the records did not take the form of the now familiar, birth and death certificates for a long time.
The stumbling block comes from having a record that is a ubiquitous as a birth or death certificate with a life span such that no one living now can remember a time when they did not exist. So new researchers immediately assume that genealogy is like geology, that there is a principle of uniformitarianism. Such a principle may work for earth sciences but following that same principle in genealogy is a trap. Genealogists have to learn that every few years both the form and the type of records changed. Before the civil governments got into the business of keeping track of everybody, the common folk were relatively unnoticed except when needed for military service or something of the kind.
Consistently, however, the churches have been concerned with records of common people for a considerably longer time. For example, quoting from Archives.com on Catholic Church records, "There are about 23,000 parish archives throughout Spain that make up the 70 Catholic dioceses. The Guia de la Iglesia en España (Madrid: Oficina de Estadistica, 1951) is a published guide that breaks down each diocese by parish and tells when the records began for about 90% of the parishes in Spain." Some of the Spanish parishes have records dating back into the 1200s.
It is important to understand more about records that making unfounded assumptions that you can find the same records available today for time periods in the past.