Someone asked for a consolidated list of places to get free books for the Kindle. If you know of any that I've missed, leave a comment and I'll update.
Download directly to your Kindle
These sites allow you to use the Kindle's built in EVDO connection to download books directly to the Kindle. You may also download books to your computer and transfer them to your Kindle with the usb cable, or you may email them to your Kindle's email address.
For direct downloading to your Kindle, access feedbooks.mobi from your Kindle's web browser. You can add the Kindle Download Guide to your Kindle for easier access. You can find details and instructions here: http://www.feedbooks.com/help/kindle.
Smaller books may be downloaded directly to the Kindle. Books with a size listed should be downloaded to a computer first and then transferred.
For direct downloading to your Kindle, access mnybks.net from your Kindle's web browser. Detailed instructions are here: http://manybooks.net/help/devices/kindle.php
For direct downloading to your Kindle, access munseys.com/joomla from your Kindle's web browser.
Download to your computer
These sites will require you to download to your computer and then transfer to your Kindle with the usb cable. You can also email books to your Kindle's email address.
Some free books, some available for purchase in multi-format. See http://www.fictionwise.com/help/kindleFaq.htm
Books with a size listed should be downloaded to your computer and transferred or emailed to the Kindle.
Some free books. See http://www.webscription.net/t-kindle.aspx.
Amazon often has free Kindle books available. Sometimes they're even good books! Go to the main Kindle Books page, enter -domain in the search field and sort the results by Price: Low to High. Here's a direct link to the sorted book list.