The Inter-Library Loan system was set up in the 1970's to expedite library systems borrowing from each other's collections. This means that no one library has to break its budget trying to have everything, which it couldn't house, anyway. The rarer books for which there is not great call can be left to other libraries, which bought them cheap when they were new.
For example, the average Dallas library user is not interested in German philological journals. With ILL, the one in a million who is can be accomodated, provided he or she has a specific title and author and is willing to wait a couple of weeks.
Most ILL programs charge a moderate fee. This covers shipping the book to and fro, and is a sign of your earnestness as well, increasing the likelihood that you will not ask them to bring in boxfuls of volumes which you browse over and discard without even taking home. This fee is determined by the holder of the volume, not the requesting library. For example, in the Hawaii State Library System, the general ILL fee is $10 -- UNLESS you want a book only at the UH Manoa, which demands a $15 fee. So even though the UHM campus is fifteen minutes from the state main branch, it is actually cheaper to bring the book in from Ohio.
There is a time limit, too, to ILL books, usually about a week. If you are a slow reader or wish access to the information on a longer or permanent basis, your next stop after picking it up at the library is a photocopy store. Preferably, you should use one that has a prism top for one of its machines. This is a shallow wedge that holds the book open without smashing it down flat, which can break the spine on unsewn books like soft-bound doctoral theses. Also, some books are so tightly bound that flat as you may mash them, the innermost characters are still unreadable in photocopy.
(Note: if you're a good person and leave some sort of surety, many systems will allow you to check out reference books overnight, or at least for a few hours, in order to do a lot of photocopying. Despite the photocopy machines in the library, the librarians know that sometimes they are in need of cleaning, are terribly expensive per page, and don't do color.)
For recent books in which you have an abiding interest, ILL may not be a bargain. You may be better off hunting your own copy through remainder houses like Edward R. Hamilton, at local second-hand stores, or through book finders.
ILL is at its best for low-production scholarly monographs that were only bought by a few thousand specialty libraries, obscure journals, or for very old and rare items, like an 1890 Baedeker's for Paris.
Alternately, ILL can often bring you a photocopy of a desired item, to have and to hold, rather than the original for a short term. Many libraries prefer this to shipping out an item. For articles in periodicals, there should be no extra charge for ten sheets run off by a librarian. Asking for a photocopy of that whole Baedeker's may require some negotiations.
Check now with your local branch to see what sort of forms you need to fill out, then start making up your wish list.
If you need to complete the bibliographic data we may have left out about a book (we do this site when we're not working), here's the URL to search the Library of Congress catalog. Many local libraries only access the part from 1968 forward, but here you can find the whole thing.