A primary source is any original source - an image, text, newspaper article, political cartoon, map, deed, letter, diary, or artifact; and the list goes on - that comments on, testifies, or bears witness to the time period of its own production. In this respect, primary sources are the raw material of history. They are what historians study as they try to learn what happened in the past, and what an event meant in the context of its times.
Primary sources are held in archives - the National Archives in Washington, D.C., for instance - and in presidential libraries or memorial sites: FDR's former home in Hyde Park, New York, for example, holds a great many primary sources relating to the years of his presidency during the Great Depression and World War II. University and other research libraries (the New York Public Library is a good example) also own extensive primary sources. Often, public figures will bequeath their papers to a university library of their choice (perhaps their own alma mater), and sometimes the estates of famous public figures now deceased will sell their papers to such universities, to add to a university's library or archives. Nowadays, primary sources are also reproduced digitally and made available on the internet. Some textbooks also offer companion volumes - "Readers," as they are often called - whose contents are primary sources to be read alongside, and in illustration of the textbook.
Valuable and exciting as primary sources are, they are also tricky. Because they are intended for a certain audience - an audience often presumed to share their writer or producer's view - they can be openly biased or prejudiced. Political cartoons, for example, a number of which are reproduced in our own archive along with other primary sources, are obviously slanted to reinforce their artists' (and audiences') perspective on the events upon which they comment. Even supposedly objective newspaper accounts (of which we also include a number in our archive) can be more opinionated than they let on. Your job as a historian is to detect such slants and hidden agendas. Indeed, one reason we work with primary sources is that they are well-suited to reveal the bias of their producers, their intended audiences, and/or their times.
The following are good questions to ask of primary sources:
The larger question underlying all of those listed above is the following, which neatly summarizes the reason for studying primary sources in the first place: What does this source tell me about the values and beliefs of those who produced and consumed it, and of its times in general?
While secondary sources do a good job reviewing and interpreting primary source materials for you, there is no substitute for identifying, locating, and analyzing primary documents yourself. Especially for a research paper, the use of primary sources is recommended (and sometimes required). The ability to work with such sources and incorporate them into your writing will enhance the quality of your papers and make you a better historian.