Start by finding out all you can about your family in the U.S. Start with your parents, then your grandparents, ... back to the ancestors who immigrated to the U.S. Get names and dates for everyone, including non-direst ancestors, that you can identify. It is easier to figure out which John Smith you are related to if you know that he had six siblings with unusual names and find him living with one of them. Look at any old family bibles and/or diaries; a lot of people recorded family information in bibles. Write down any stories about where an ancestor was born or where he lived. Does anyone in the family remember what part of Scotland the immigrant ancestor came from?

The online subscription genealogical databases can be a great source of information. Some of them provide access to an amazing amount of official documents and other source material. Beware of the public family trees; consider the information in their trees posted by other people as hints, not facts. If it looks good, try authenticating the data. I have met several distant relatives by finding my family members in other public trees, and then contacting the person who posted the tree. We now share information when we find it.

Once you can identify when your ancestors came from Scotland, there are ways to access Scottish records. I don't remember the name of it, but a distant cousin in Australia (who I met through Ancestry.com) accesses an online Scottish archive of government records, and shares his finds with me. He was able to trace our working class ancestors back to the early 1700's.

There is an amazing amount of information available on the internet for free. Try a Google search of an ancestor's name in quotes. Google Books has a great collection of old history books, and I've found information on several ancestors there.

Good luck.