For this week's online essay, go read Historiography, at Concordia University's Dept. of History website. It's a quick introduction to issues that historians grapple with in writing history, along with an overview of historical writing in the West from Herodotus and Thucydides to Bancroft and Turner. I'll give a couple of quotes. First, what are "historical facts"?
Except for the special circumstance in which historians record events they themselves have witnessed, historical facts can only be known through intermediary sources. ... The relation between evidence and fact, however, is rarely simple and direct. The evidence may be biased or mistaken, fragmentary, or nearly unintelligible after long periods of cultural or linguistic change. Historians, therefore, have to assess their evidence with a critical eye.
So history is dependent on sources which, when viewed through the critical eye of an informed historian, are the basis for (tentative) statements of historical fact. Facts aren't foundational, they emerge.
Of course, facts alone make a pretty dull narrative -- there needs to be a framework in which the facts are presented. The framework arranges the facts to illustrate or support the historian's interpretation:
Fact-finding is only the foundation for the selection, arrangement, and explanation that constitute historical interpretation. ... The historian must respect the facts, avoid ignorance and error as far as possible, and create a convincing, intellectually satisfying interpretation.
Evidence, facts, and interpretation, that's what history is made of. I assembled commentary on some of this as it applies to LDS history in an earlier post, Faithful History.