where to go to research The Palace/vaudville? PLEASE help

I'm finally finishing college this year, in December. And being a History major with Poly Sci and Comm. minors, I have to do what most seniors have to do....take a senior seminar which leads to us writing a paper on pretty much anything historically, so I've chosen The Palace Theatre and vaudville, such as the role The Palace had in the time of vaudville. The tough part is that it CANNOT be a chronology, we have to focus one on period and or place. I also have to think of some other aspects to focus on...
I've already ordered a book on this very topic and I know I want to examine how the Palace became one of the great vaudville theatres at the time. I have plenty of internet sources but I'd like to find some archives to really get a feel for how the theatre was run back in then. My topic is already approved and I've started doing basic research. But I really need to nail this paper, not only to graduate, but because I have a professor that has the rep. of being one of the toughest professors at my school.
I was wondering if anyone out there knew of any archives that may help a bit. I trying to find out if the theatre itself has archives but haven't heard back yet. Since I have chosen such a specific topic, there seems to be limited resouses. Can anyone here maybe help me out on where I could possibly go to gain some more reliable information? I normally wouldn't ask, but I'm getting desperate and since you all seem to know lots of things that I don't.
PLEASE can someone PM or post me some ideas or places I could go to research? I seem to have hit a dead end and am getting very nervous.

---

thanks so much for your help. i'll definately check out all the things you suggested. i do live very close to the city to it'll be no problem going in to do research. it also turns out that a friend of the family is good friends with one of the co-owners of the theatre so I hope I'll be able to get some additional information that way.
ther IS a book on the palace actually, the first book i went to was my copy of "at this theatre" that was put out by playbill and they mentioned a book called "the palace" which i was lucky enough to track down in a rare book shop.
anyway, thanks again for your suggestions!! :)

---