Where to look for parish registers in England & Wales tends to depend on the county you are researching in, but one thing I have found is that it is often easiest to confirm relationships and trace a family back in time if you can access the original parish registers, or a transcript, for a particular parish that is organised in date order.
For many years, I had thought that a baptism I had found in 1831 at Countess of Huntingdon Parish in Ely, Cambridgeshire, was for my ancestor Mary Scott, who was born about 1830, because that was the only christening I had been able to find in Cambridgeshire for the right time period (on FamilySearch). It wasn’t until I obtained transcripts of the parish registers on CD (from the Cambridgeshire Family History Society), that I was able to follow her family through the parish registers, and realize that the baptism in Ely didn’t fit in with where the other children were baptized.
While using sites such as ancestry.com or FamilySearch can help you locate records that may be for your family, it is important to be able to verify the record you have found is for your ancestor. Following a family through the parish registers in a particular parish, and neighbouring parishes, can help you do this. Using census and probate records can also help sort out the relationships, particularly when you have a number of relatives with the same name.