Library and Archives Canada is one of many government sites for researching your loyalist ancestor. The LAC has many original documents on microfilms that can be ordered. You can browse the topics alphabetically or search the archives. There are land records, military records, censuses and several collections as well that can be ordered on microfilm. The censuses on-line don't have much data about loyalist families, but they can be used to determine where the descendants of the family settled or migrated or if they returned to the United States later on as many did.
Provincial Archives have a lot of information as well, Archives of Ontario has vital statistics, land records, wills and estate records, court records, war records etc.
Search for your loyalist ancestors in records in the states where your ancestors lived prior to the Revolutionary war, the provinces where they lived afterward and the national archives as well. My ancestors lived in New York, New Jersey and Pennsylvania before 1776 so I search in those state files as well as the US National Archives site.
Municipal sites may have historical information about the people who settled the area, historic events, etc. that may be of some help to you as well.
related posts:
Researching Your Loyalist Ancestors -Ancestry.com Resources
Researching Your Loyalist Ancestors -UELAC
Researching Your Loyalist Ancestors -Internet Archive
Ancestral Notes by Earline Hines Bradt is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 2.5 Canada License.