I've certainly spent more than my fair share of time there myself. They have 4 (3 really) main tools to look through.
Team Game Finder -
http://www.hockey-reference.com/play-index/tgl_finder.cgi - Useful for finding out game level stats on a per-team basis. e.g. Most OT losses between 1990 and 2000 or Most games with <20 shots between 2008 and 2010 or highest number of games in a season with at least 4 goals
Player Game Finder -
http://www.hockey-reference.com/play-index/pgl_finder.cgi - Useful for finding out game level stats on a per-player basis. e.g. Most goals in a game or most multi-assist games in a season or most 1 goal games over a 10 year stretch.
Player Season (and Playoff) Finder -
http://www.hockey-reference.com/play-index/psl_finder.cgi and
http://www.hockey-reference.com/play-index/ppl_finder.cgi - Exact same format, one is regular season only one is playoff only, useful for finding most goals in a season or most total assists between 2006 and 2009 or most seasons with 50+ assists in history or most playoffs with 10+ points
Many people forget about the Team and Player game finders, which also have some awesome information