I do a lot of research usually. Maybe 90+% of the time does into research, ignoring the time I have spent playing some of the games.
First I just search for info pages, fan pages and sprite sheets. Usually the sprite sheets on the net are poor 'rips', so I have to 'dump' them myself. I've developed my own programs for this. Watching youtube videos is good for seeing / remembering certain areas of a game, but in many cases they're too blurry to work as ref.
If there are several versions of the game, I research those. There might be a NES and Famicom version. The JP/NA/EU versions sometimes have different sprites, changed or ripped out story sequences. See Contra as an example of a game that's different in all three regions. Sometimes I dump both games and run a comparison check to see exactly what was changed.
Then there could be versions for different systems. Metal Gear was changed quite a bit from MSX to NES. Rygar and Section Z were originally for the Arcade, but turned into adventure-exploration on the NES. It's often difficult and time consuming to acquire sprite refs from all versions.
Flyer material is interesting, as is gaming magazine 'spot art'. There are also guides which have some official art. Finding this kind of stuff is quite difficult as it's often Japanese material. Over the years I've saved some quite hard to find stuff. Auctions show up a lot as people tend to take photos of box contents and extra materials (maps, flyers, etc).
Then of course I play the games.
I save all that I've got in a folder (subfolders if it's a big project). Since I have got a luxurious dual screen setup I can bring up the ref on the second monitor while working in Photoshop. Sometimes I put on music from the game. I've also got a EeePC which is great if I want to be creative on Real Paper at exotic locations (i.e away from the stationary) with ref available.
It's very interesting to restrict yourself rather closely to the design of old sprites, because when you to, you go outside of your bounds and explore new solutions - which leads to increased vocabulary.