Just to add to the other good answers: The city assessor's office (the terminology varies somewhat by city and county) will have the complete information: all property transfers. However, depending on jurisdiction, it can take awhile (weeks, months) before the information shows up online, assuming you have online access. Many jurisdictions do offer online access.
Going down to the courthouse and looking through the records yourself will show you up-to-date information--that's what title searches involve--but I suspect you really don't want to do that.
An agent using the MLS data can pull up any MLS-listed transaction, and it's very timely. It also will show information that isn't in the tax office, such as any seller concessions...which is important to know to determine what the property really brought. The drawback(s) are that, as noted below, not all transactions appear on the MLS and it means you can't do the research yourself; you'll have to rely on a Realtor. However, note that a Realtor can also pull up the tax records, so all you'd be missing by using a Realtor are very recent transactions that weren't in the MLS.