The General Commission on Archives and History for the United Methodist Church, http://www.gcah.org/site/c.ghKJI0PHIoE/b.2858875/k.D257/Research.htm, provides genealogists with a comprehensive website that allows one to learn more about different aspects of Methodism and research into the church’s records.
This website should be a first step in researching any church records for a Methodist ancestor. They include a section on genealogy and how to go about the research on your ancestor, including where to look for various sources.
Their website includes their holdings catalog which you can search for any records that might be of use.
Also check out their various articles on topics like Circuit Riders and Women in the Methodist tradition.