Rather than recreating yet another large page on this subject, there is a link below  that is better than anything I can come up with.  I will make a few brief comments though.

The two most valuable records for Confederate soldiers are the Compiled Service Record and Pension Applications.  Both have been microfilmed and can be found in larger libraries.  If you are lucky enough to be able to visit one of them it is the fastest and cheapest way to aquire these records.  They can be had for copying cost.

There is an index film of these records.  The actual records are complied by unit and the soldiers in it in alphabetical order.  You must know the name, weither Union or Confederate and the state from which he served for a search to be done.  Information normally found in the service record are name, enlistment date, unit, weither present or absent at musters, prison records, in a few cases a description and date of discharge.

Service records can be order from the National Archives or from the State Archives of the State from which he served.  Addresses for both can be found on the link to the U.S. Civil War Center below.  To order from the National Archives you must submit your order on a Form 80.  To simplify ordering this form I have created a form for ordering them.  See below.

Pensions were given by the state in which the soldier resided, which may or may not be the state from which he served.  They were need based so if your ancestor had a lot of property there will not be one.  Information in this record normally will be the enlistment date, unit, length of service, when transferred or discharged, commanding officer and captain, weither wounded or deserted, property owned and age.  There will also be witnesses.  Widows pensions will have the date and place of marriage and when the soldier died.  These records must be ordered from the State Archives of the state from which the pension was drawn.  They are not a federal record and the National Archives does not have them.

Some libraries have these records on microfilm.  This is the fastest and cheapest way to obtain these records if you have access to one of these libraries.  There is also a book Mississippi Confederate Pension Applications which contains the name, county and date of all pension and widow's pension applications in Mississippi.  It was edited by Betty C. Wiltshire.  The book contains the unit in which the soldier served and is a good place to find this information if you don't already know it.

The Confederate Research Center is one of the best places to do Confederate research.  So far as I know they do not have an email address but you can order from them by regular mail or if you are lucky, visit them.  Someone sent me information on their holdings and services so I made a web page of it.