This site was introduced at this thread: Great New Link - Virtual Gramophone, but it seems not many people has been there (judging from the number of links to its recordings). Let me add other sites (not so large as the Virtual Gramophone). The first three are American Memory collections.

Emile Berliner and the Birth of the Recording Industry

Inventing Entertainment: The Motion Pictures and Sound Recordings of the Edison Companies

The American Variety Stage: Vaudeville and Popular Entertainment 1870-1920

The Sound Recording Collection at The National Park Service site

~Masato