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Consider the following, if given as evidence in an answer:

  • In a 2005 Example.com interview of renowned ornithologist George Credibleopoulos, George explicitly stated that snipes do indeed migrate north in the winter.

How far do we need to go?

  • Do we need to prove that George Credibleopoulos exists and is an ornithologist?
  • Do we need to prove that he is renowned as such?
  • Do we need to prove that his claim has merit? Perhaps he has an unknown history of not knowing what he is talking about, or of purposely stating lies in interviews as a cynical joke?
  • Do we need to prove that the interview really happened and that Example.com did not just make up an article? And even if we do "prove" this first-hand by asking George ourselves (and we assume he is not lying), do we need to prove that we actually did that?
  • Do we need to prove that George Credibleopoulos actually said those things in an interview, and that Example.com didn't just insert it?

I could easily, for example, register a domain name, fabricate an entire interview with a real or fictitious person, then cite it as a source (and the danger, of course, is that most casual readers, and even some not-so-casual, would accept this). In fact, this is something that has often bothered me about the quality of Wikipedia citations as well.

Where should it stop? How do we know when to stop digging?

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I see two different questions here:

  • What is good enough for Skeptics.SE?

  • What is good enough for a Skeptic?

On Skeptics.SE, we require references that support the claims being made, or your answer is subject to being deleted. They don't have to be quality references to pass this minimal hurdle.

Readers will evaluate your references, and may downvote your answer if they are poor quality.

As for satisfying the general skeptic, the expression I have often heard is that when the evidence has reached a point where "it would be perverse to not accept it as provisionally true". That point depends on the nature of the claim. Extraordinary claims require extraordinary evidence.

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    We do require that the quality of a reference be better than the claim itself: something that merely repeats the claim or just provides worse evidence than the asker already has will likely be removed as unreferenced. – Sklivvz Apr 8 '17 at 7:45

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