In all the world, there are just two different groups of family historians - those who have hit a brick wall with their research, and those who will. It doesn't matter how experienced or how long a person has been doing research, the circumstances of our families will challenge the best of us.
One thing I find particularly useful in breaking through a brick wall is to develop a Chronology Document from the point of view of the particular ancestor that is challenging me. I start by collecting and then writing (or typing) all that I know and ordering events by date. Anywhere their name appears, I place a date or partial date, a description, and the source for the information. As I continue to add information, I continue to sort and resort. Include birth information, baptism, appearance in a census, reference as a sibling on other birth certificates, mention as a surviving relative in an obituary . . . basically anything you can get your hands on.
This will serve as a quick reference as you continue in your attempt to unravel the mystery for this individual. Perhaps it is his or her parents you are trying to locate and you don't have a birth certificate. Knowing the information for siblings can be helpful since one of those certificates may list the parents names.
These documents can also be useful later if you choose to write a biography for a particular ancestor. I have several such documents created in Microsoft Word and for events that I 'assume' or 'suspect' happened, I sometimes will enter them in my document and change the font color to red to highlight that it is work that remains to be completed.