As an American researcher whose ancestors came from many areas in Europe and the UK between 1619 (earliest found) and 1871(latest) I can't imagine ever running out of avenues to pursue. Simply connecting those who immigrated in the early 1800s, or before, back to their origins is a huge challenge. I have all my 2x great grandparents and all but one couple of my 3 x greats, but after that it thins out considerably.
What I have found is that if I can find a direct link back to where they were living overseas (for example with the more recent emigres), then I can do a pretty good job (with help from other RCers, of course) of tracking them back a few more generations. But if he came over in the 1680s, and suggestions from old records are that he came from either England or France (yes, he has a French surname, but nearly all the other people on headrights lists with him have typically English surnames) then where does one begin? Do I travel to England, or do I learn to speak better French? (These two questions are rhetorical.)
So I don't think I'm doing too much. My question might be are some people doing too little? For example, when I find a tree, or a book, etc. that purports to take one of my lines back to a 9th or 10th great grandfather I don't take it at face value. I do whatever I can to verify each connection for myself. This happened recently in one of my Scottish lines and I was able to prove to my own and others satisfaction where there was a leap of faith that led to a wrong conclusion.
Nick