Here are a few sites that I've used with success.
- Ellis Island Records
- Castle Garden Records
- Immigrant Ancestors Project - BYU
- Immigration and Ship Passenger List Research Guide
- ISTO - Immigrant Ships Transcribers Guild
- NARA (US National Archives & Records Administration)
- Naturalization Records
- Olive Tree Genealogy Ship Records
- Migration Helps - FamilySearch
Free Genealogy Resources - Web Search is another tool for your research quiver. You might as well bookmark it on your first visit because once you've looked at it and used its tools, you'll keep coming back.