Try to interview some of the locals

You decide to start things off by seeing if you can't get a few little interviews. Talking to some of the locals might give you an idea how much - if any - of what you've found out about this town so far is true.

Maybe it'd be better not to reveal exactly what it is you're investigating out front though...

You hit on the idea of cold calling on a few houses, just knocking on a random door or two and asking a few vague questions about the town, and leading onto more.. intimate questions if the interviewee seems to know more. It should hopefully get you some background info at least.

On reflection though, that could well be somewhat intrusive and imposing - you know how irritated you often are with salesmen or pollsters and similar knocking on your door and disturbing you when you're busy doing something important, like watching television, or sitting down. Perhaps you should wander around the streets for a while instead, that way you can get a feel for the town, and if you happen across any locals as you do so you can see if they have any time to spare to answer a few questions - the old vox populi, the word on the street.