National Army Museum
National Army Museum (NAM)
Another, more general, source of information is the National Army Museum in Chelsea. The Museum does have a library relating to more general Army/regimental histories (requiring a reader's ticket). Click on the information link for the answers to many frequently asked questions.
For a more comprehensive information on individuals, the best place to start is The National Archives.
If you know your ancestor's regiment, there are many regimental history websites.