Ways to find out my family tree other than through ancestry.org type of sites?

Just out of curiosity. I don't have a real need for this.

So I've been trying to find info on my great-grandparents but after snooping around in ancestry.com and familysearch.com I realise there are no records for any of my parents, grandparents or great grandparents online. At least not on those sites.

And so I'm here wondering, what happened with those records? Anyone had any luck searching elsewhere? I've tried googling the names and nothing comes up either. Hooray for privacy I guess?