More and more records from the National Archives are showing up as searchable databases on line. You'll find a treasure trove of great information at the National Archives sub site called: Access to Archival Databases (AAD)
Since this is Veteran's Day in the U.S., I should point out that there are quite a few military databases available including: World War II Army Enlistment Records; Records on Korean War Dead and Wounded Army Casualties; Records of World War II Prisoners of War; and Records with Unit Information on Military Personnel Who Died During the Vietnam War. There's more here beside military records, including passenger lists.
Another great free resource, although technically U.S. citizens paid for this through their generous tax dollars.
Here's the link: