Each county keeps records about who owns the properties in their county as well as recent sale records. Some counties make them available online and others don't. As Benito points out below - Itasca county makes their records available online at http://www.parcelinfo.com/main.php. Each county is different though so if you are looking for a different county you will have to find the county webpage and go from there.
#1 Trulia Agent in MN