Read books. There are a whole shelves of books on every historical topic under the sun, covering the whole range from popular history to academic publications. Start at a level you feel comfortable and then dig down on what interests you the most.
Documentaries are only useful in that they tell you that a certain period/culture existed and therefore turn unknown unknowns into known unknowns. There are some youtube videos that go into sufficient details about a specific topic (ie, 30min in a single battle) that real information can be learnt from it, but that is really rather rare. Reading and asking questions on this forum helps too.
If you really want to get to grips with a topic, then reading the primary sources is necessary. However, unless you plan to push original research, I don't think it is strictly mandatory. For example, it is perfectly possible to have a solid (even if imperfect) understanding of ancient greece without reading a line of Herodotus.
I'm mostly into Korean history, where there are few secondary sources. I use the secondary sources to hear different authors' interpretations but for certain topics I generally prefer going to the primary sources if I can since I like to draw my own conclusions. Often they're not in English and translation can be a challenge though.
Olleus is quite correct. The Internet is limited and frequently inaccurate. Documentaries are often slanted. Read lots--and come to your own conclusions. Check the bibliographies for additional places to go. If you are researching, use original sources if you can (but remember that the writer may have had an agenda of his/her own). Bounce your ideas, findings and conclusions off someone who is knowledgeable: often even more ideas, questions and weaknesses come to light as you express yourself.
Agreed: Books. Boards like this one are good for getting recommendations on which books are better to start with, especially if you're delving into a controversial subject like King Arthur.
I tend to find that too many recent documentaries are only "safe" if you already know the era or topic already. Too many of them have some bizarre slant or agenda, making them exactly the wrong way to get a balanced foundation if you're just getting started. Youtube videos are even worse--a few are excellent but many are terrible, and there is not necessarily any way for a newcomer to tell one from the other.
Now, one unfair advantage that *I* have is that I'm a reenactor, with a nice group of friends who like books. Including tons of more specialized works that the average library is not going to have. So it's easy for us to share around and discuss tedious little details at great length. But I'm not sure how someone approaches the problem if they are not already surrounded by fellow history geeks!