Different price databases have different strengths.
Artprice is particularly useful for tracking trends in the market geographically and for specific artists. Coverage from 1983.
artnet is useful for finding out estimates and realized prices for specific lots, or filling in blanks in your knowledge of specific lots or sales. Coverage from 1985.
Invaluable specialises in sales information for decorative art objects.
For auction houses' own online records, see:
For details of more UK auctioneers, see the Society of Fine Art Auctioneers and Valuers.