Library Catalogs that include books at other libraries:
The Center for Research Libraries is a particularly good place to check for microfilm sets of periodicals. You can request CRL materials through interlibrary loan--just make sure to include a note indicating that the item is held at CRL.
If MLibrary doesn't have a book that you need, there are two ways to request it:
UBorrow is a consortial program that allows you to request books from any other CIC library. The books generally arrive faster than through ILL.
Interlibrary loan (ILL) allows you to request books from libraries all over the world.