Harvard University has made available a digital collection, Immigration to the United States, 1789-1930.
There's a lot here. As the collection notes say, they have about "...1,800 books and pamphlets as well as 9,000 photographs, 200 maps, and 13,000 pages from manuscript and archival collections." There's a strong Massachusetts focus, not surprisingly, but a good deal of other materials as well.
Off on the left-hand side of their page, you'll find several search options: a Keyword search box, along with links to Search the Collection and Browse the Collection. I'd suggest giving them all a try, as they access the records in different ways, and turn up different results, even for the same search.
Italian immigrants at work in New York City, ca 1909
The Immigration collection is part of Harvard's larger Open Collections Program. It's worth a look around here at some of their other materials, which include materials of both general interest, as well documents of value to family history researchers. Their Women Working collection is of particular note.
Visit the main page of Free Genealogy Tools for more, umm, free genealogical tools.
And don't forget to also check for your family history at Ancestry.com and NewspaperArchive.com. These are subscription databases, but they are among the most powerful research tools available for looking into family roots.