The Ellis Island site is great. Completely useless, when it comes to researching my own family, but great nonetheless.

I have a three (free) sites I'd like to recommend, though they're probably of limited value to most here:

Firstly, my all-time personal favourite genealogy site: Arkivalieronline.dk, The Danish State Archives Online, which consists of most of the available parish records from what is now Denmark (usually pre-1900), as well as tons of old census records. Large, scanned images of the actual kirkebøger, all free. Basically the same stuff you'd get if you ordered it microfilm/fiche at your local FHC, but you don't have to get dressed and pay a bunch of money to access it. Baptisms, confirmations, burials, records of people leaving and joining the parish, etc. The Danish government kicks ass.

The downside, if one would consider this a downside, is that it's not indexed. I mean, other than by date and location. And signing up is kind of a pain in the ass, and if you have trouble reading Danish, sending an email to the webmaster is a good idea. Oh, yeah: the site is all in Danish, and the records can be either in Danish or German, often written in some fairly indecipherable scribbling. But... that's part of the fun, right?

Also incredibly useful is the Norwegian Digitalarkivet, which is even in English. (The site, not the records.) Pretty much the same sort of content you'll find on the Danish site, although these records usually don't go back as far as the Danish ones, yet. The Norwegian government also rocks.

The Genealogical Society of Finland has shitloads of info online, useful for, uh, Finns, mostly. They've got an index of parish records, seachable by name, patronymic, farm name, etc. Very nice. Scanned images would be nicer, but I'm not complaining. :)

---Lepus Rex