The Church History Library in Salt Lake City is simply phenomenal. The staff are very knowledgeable and eager to help. There is a lot of material there that you can’t find elsewhere.
Much of the collection is digitized, which you can search here: https://history.lds.org/section/library?lang=eng
I’ve found lots of new things at the library that, so far as I know, have never been noticed before. I’m sure there are many more treasures in there.
As a side note, the collections of rare books at the University of Utah and the Utah Historical Society have some great items as well.