I always start with the IGI for births and marriages.
http://www.familysearch.org/Eng/Search/frameset_search.asp?PAGE=igi/search_IGI.asp&clear_form=truePre civil registration it is very good and the civil records 1855-1875 are on the IGI. After that time for civil records you probably need ScotlandsPeople.
I use ancestry for the Scottish Census (some not so good transcriptions) but find a general search of all census will not return the found records - so I have to search every census in Scotland separately.
For deaths pre 1855 the main information comes from MIs and burial records & as they are not indexed online you do need to know the county. 1855 and later I use SP for deaths.
You can check each of the county boards on RootsChat for other links that may be useful. If you can find some of your folks on SP and/or the IGI, you will have a better idea as to which counties to search. Genuki,
www.genuki.org.uk also has lots of information for Scotland in general and each of the counties
Trish