Somehow, NYC chose me when it came to my location for my steampunk story. In researching I have found two very good links for historical information on the city and it's history.
The Bowery Boys: http://www.theboweryboys.blogspot.com
They have many. many listings for blogs on the history of New York. They also include links for downloading podcasts from itune or you can listen right from their site. I was drawn by the posting on the 1899 newsboy strike. It has some fabulous pictures including pictures of the skyline that can be used to get a feel for what the city looked like during that time.
The Gotham Center: http://www.gothamcenter.org/features/timeline/
Here they post a Timeline of the city's history. You can pick from different era and it will give information to expand on.
As I find more posts I will add them here. If you have any additional links I'd love to hear about them.
I know that this is probably quite useless for the rest of you, but we do have a wonderful collection of materials about Stockholm called Stockholmskällan (Source of Stockholm). It's full of old photos, maps and documents, as, for instance, this map from 1869 that shows the official toboggan-riding hills/streets in Stockholm (you can click on the map to make it bigger). I had no idea that there were streets officially designated for this. Could be a good piece of information for a novelist...