The best thing about primary source documents isn't that they help us know exactly what happened—it's that they help us understand how people thought about what happened. Often, the authors of these works aren't altogether reliable narrators if we're going for exactitude and accuracy, but it's much more difficult to obscure one's feelings and thoughts on a matter, especially an important event with which they're directly involved.
A primary source document is any writing about an historical period or event by a participant or eye-witness. Both William Bradford's Of Plymouth Plantation and the U.S. Constitution are primary source documents, and both reflect the attitudes common during the time and place they were respectively conceived.
For Christians, the ultimate primary source document is the Bible. It's also an excellent resource for studying ancient history, as it gives unique insights into Near Eastern culture, thought, religion and warfare. Of course, the primary importance of God's Word is as divine revelation, Christ's Gospel and the Christian's guide for life and doctrine, but that doesn't mean we can't also use it to learn about the context of ancient Israel and the surrounding nations.
People sometimes dismiss primary source documents as "too difficult to read," but what's striking about most of them is how accessible they are. Because these texts were written by men and women directly involved in what they're writing about, there's a sense of immediacy and straightforwardness often lacking in what we've come to know as "history books."
Most of these titles are best used as supplements. For instance, while Martin Luther's The Bondage of the Will clarifies many of the concerns of the Reformers, the events and figures of the Protestant Reformation aren't addressed. Also, many primary source texts are the product of conquerors and victorious military leaders, and evidence a distinct bias that needs to be counterbalanced with a more factual study.
However you choose to integrate or implement these texts, be sure to approach them with interest and excitement. This isn't just history as a subject; it's history as the living story of people in our world, their thoughts and desires, their victories, and their tragedies. This is the human face of history, and one that cannot be ignored if you expect to have a consistent and thorough understanding both of the past and the present.