Free access to a database of over 10 million immigrants from 1830-1892.
Ellis Island Online
Research passenger records from ships that brought immigrants to Ellis Island from 1892 through 1924.
Emmigration & Immigration Links
Focus is on German and European passengers, but includes links to many points of entry.
Open Collection Program: Immigration to the United States, 1789 to 1930
Huge free collection of immigration books, photographs, maps, and manuscripts from Harvard University.
U.S. Ports of Arrival and Their Available Passenger Lists 1820-1957
While not comprehensive, this is an extensive list of links to ports and passenger lists organized by states, and includes crossings from Canada and Mexico.