I'm going to GM Trail of Cthulhu and would like to know if there is any site that aggregates this kind of information. I've already found this site http://www.paper-dragon.com/1939/; any other suggestions?
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The 1930s section of the (rather old looking :)) The People History site (found via google) appears to have somewhat brief yet interesting, relevant info on the era.
Note (and check) the links to the individual years in the middle of the right column too.
Personally I go read books from the era; Rex Stout's mysteries are set in the 1930s and quite amusing to read. Also Raymond Chandler was writing at about that time. They tend to cover things from that era in the same manner as they would be using it (i.e. a violent one). Noir movies are also good for this.
Examples of things I've learned from these books:
-Elevators were around, but not the push button type. They had a lever and if you kept it down the elevator would crash into the floor. Thus why they had elevator operators. (Flure-de-Lace by Res Stout)
-Drugs often came as powders that you mixed into water. (The Woman in the Window (Fritz Lang, 1944))
-Pornography existed, but was illegal enough to go to jail for possessing it. (The Big Sleep by Raymond Chandler)
My go-to solution for this is to dig up scans or reproductions of old catalogs. I like the Sears catalogs quite a bit, as you get a nice cross-section of what people would have been buying at the time. There's several sites online, but here's one with the 1937 Christmas catalog. It's toy-focused, but there's some early electronics and kitchen appliances and such.