The National Archives is the primary repository for U.S. military service and pension records for all five services: the U.S. Air Force, Army, Marine Corps, Navy and Coast Guard. Records up through approximately 1902 are housed at the National Archives in Washington, D.C. (with copies available at local branches), while most 20th century records that were not destroyed in the 1973 fire can be found at the National Personnel Records Center in St. Louis. If you believe that some of your ancestors served in the U.S. military, the following sites will help you in your research:

For general information about records available through the National Archives:
www.archives.gov

Copies of military service and pension records can be ordered by mail from the facility which holds the records. Request forms and ordering details can be found at:
http://www.archives.gov/research_room/obtain_copies/veterans_service_records.html

To see samples of military service records available through NARA:
http://www.archives.gov/research_room/obtain_copies/military_records_in_arc.html

To learn more about the National Personnel Records Center (NPRC) in St. Louis:
http://www.archives.gov/facilities/mo/st_louis.html