Since there are so many different immigrant classifications, the evidence required will vary on a case-by-case basis. Read the instructions specific to the benefit sought. The burden of proof in on the person seeking the benefit, see INA section 291.
EXAMPLE: Filed an I-130 for my stepfather---proof of my relationship to my mother (my birth certificate or adoption papers or DNA test); proof that my mother was free to marry my stepfather (this could simply be my b/c showing she was a single unwwed mother, this could be my dad's death certificate, or this could be my parents' divorce papers); proof that he was free to marry my mom (this could be his divorce paper's ,his late wife's death certificate, or a report of the country's vital statistics records showing no marriage record for him {this last thing is common in the Phillipines because children's birth certificates ofetn say if the parents were married--parents often lie or fail to correct an incorrect assumption of that fact}; proof of my relationship to my stepfather (this will be proof of his marriage to my mother---NOTE: according to the law at INA 101(b)(1)(B) the marriage had to take place before I turned 18).
So, what are you trying to prove?
You have to prove different things at different times, take it one step at a time. What do you need to prove now?