You're right Nick, I was rather fortunate, especially as the survival of early parish records in many areas is perhaps only 50%. There are, of course, many other records, manorial rolls, hearth tax returns etc, etc. but linking these to specific ancestors is often very difficult indeed. It did help that I stuck to researching only the male line (i.e. followed my surname) rather than branching off down any maternal lines. One big tip is not to rely on indexes, but to check original records wherever possible. It's amazing what contemporary pencil notes and anecdotes you can find in the margins or parish registers that help to add context to the bare facts.
Indexes are valuable, in that they are more easily accessible, but any information gained from them must be confirmed in the original registers which, as you say, sometimes contain notes regarding the individuals concerned (often less than complimentary).