Find a brief history of Allegany County on Wikipedia and a more in depth one on Allegany County, NY GenWeb page. Another great reference is the Allegany Historical Society Local History & Genealogy site.
Here is a list of all the cemeteries on the Allegany County New York GenWeb site. In addition, it has an index of all the cemetery records for each cemetery as of 1894 (website explains that it is not complete). Another list to look at is on the Painted Hills Genealogy Society's website. You may also search the Find A Grave website exclusively in Allegany County, NY.
Below is a list of cemeteries I've visited within Allegany County separated by the town or village they are located in.