When researching your Confederate ancestor, it's important to realize that, although the Confederate States of America no longer exists, its states do. Each one maintains its own collection of records. Although many of these records have been microfilmed and are maintained by the National Archives, many records still remain in the individual states. For background information, read the Wikipedia article, Confederate States of America. Confederate research is not my field of expertise. To learn from an expert, read Desmond Walls Allen's Prologue article, "Which Henry Cook? A Methodology for Searching Confederate Ancestors."
The links in this list will take you to the archives or state library web site for each of these Confederate states. If available, that link goes directly to the site devoted to Confederate records. Are you researching family in one of these states? Then take the time to explore that state's web site. You may find many more records of interest.
Confederate service records have been microfilmed and are available at NARA. For indexes and basic Confederate service information, see the Civil War Soldiers & Sailors System (part of the National Parks System). Some of these records are gradually being added to Fold3, and an index also exists at Ancestry.com.
Pension records were provided by the states, not by the federal government (with rare exceptions); so these records need to be ordered from the individual states. Use Joe Beine's web site to locate information on locating and ordering Confederate pension records.
There is one very important point on Confederate pensions: They were issued by the state in which the soldier resided when he (or his widow) applied, not by the state from which he served. Most of the Confederate pension acts were not passed until about 1880, but I don't have complete information on this. Widows' pension acts were passed even later.
One other important source is the Records of the Southern Claims Commission, M1407. These are the records from southerners claiming compensation from the U.S. government for supplies used by the Union. Although not military records, if you're researching families in the Civil War south, you may find important information here. These are online at Fold3. I've viewed them, but I've never used them in my research, so I'm not sure how complete the holding is. Of course, they're available through NARA.
A search of the Guide to Federal Records for all mentions "confederate records" reveals a list of six record groups: .
This is the most important of the Confederate records holdings. Use NARA's Order Online page to retrieve a list of the many microfilm publications in this record group. Pretend you want to buy a microfilm roll and follow the links to the "Advanced Search" page. Search for Record Group Number equals 109, and view the list of 100 microfilm titles.