How do I find immigration records from 1900's coming from Eastern Europe?

I have been trying to find records from where my family came from Belarus/Poland/Lithuania/Ukraine/Russia. I believe that they came into Phila. I do not have the year that they came to America. I have been on the Ellis Island and Philadelphia Immigration websites and have found nothing.

I know that research is called that for a reason, but where else can I look? Was there a common port they left from in that area of Europe? Are there better sites to check? Any help would be greatly appreciated.
I would have no problems talking to someone via email I am just leary of throwing it out there. I appreciate the info though.

Our problem in my family is that we have no idea where we actually come from. All searches I have been able to find have brought me death indexes and the cemetary where my great-grandparents were buried. I have found others with my last name, but I have no idea if they are related to me or not. I am not the first to do this research and the other person was never able to locate a marriage certificate or deed. I think I might be able to get those by going to the county they lived in. But I am lost on when they came over or where they came from.
I am sorry I did not clarify. I am not looking for some far gone ancestor. We share the same last name and there are not that many of us in the world. I appreciate the advice though and I am sure I will be around asking more questions. :)

If you provide additional information to this question that identifies a specific individual(s) name, maybe a birthdate (even an approximate guess), a spouses name or child that may have immigrated with them, there are a number of rather experienced people who keep an eye on this forum who have access to quite a few resources (often fee based) that might not be readily available to you.

We might be able to come up with something.

Being careful is a wise thing to do.. in this case, it might be overkill. If I post the name of a (dead) ancestor here, there is no way it can be linked to me personally (unless I choose to).
As a general advice thing.. you should be able to locate your family members in the census. Depending on the year.. it often will show the year of immigration right there. All census records are there via ancestry.com. It is fee based, but you can do a free trial.
You may be able to locate naturalization records.. this depends on if you have all the "later" items, ie death cert, obit, family records, so forth. This is more important for the males, since wives were 'linked' at one time to the citizenship of the husband. Are there siblings? it could be that a brother became a citizen, and the sister did not.
The 'best" site is arbitrary... it is dependent on the details. You are absolutely free to personally email someone (if your email is enabled). You are welcome to email me.. however, that means you don't have the benefit of answers from other persons, who very possibly have much more resources than I do.

Before Ellis Island http://www.ellisisland.org/ which opened in 1892. There was Castle Garden open from 1830-1892 http://www.castlegarden.org/
It's worth checking it out and like Ellis Island it's free. Our favorite kind of site.

You may want to try Ancestry.com.I believe you can get a free trial subscription.I have been using the site for some time now,and have really found some great information.
Ancestry.com does have a search feature catagory just for immigration records.You can look at photocopies of the original documents.
It can help to try different name spellings.Eastern European names can be hard to find sometimes because american record keepers were unfamiliar with them.
I have a friend who's mother's family was from Lithuania,and they altered the spelling of their name a few times.
You can also try these two sites;

rootsweb.com

familysearch.org

Good luck.

Over the years I've been able to find my own ancestors and to help many others who are looking for their roots in the area you describe. I do this without a fee as my time permits. If you would like me to offer you some individualized guidance on where to look, and possibly some actual assistance, please respond to this message. I have (I hope!) set up my account so that you can reply via email.