Harvard University's Open Collections Program is a project that allows the public to access, via the internet, thousands of resources held in the Harvard libraries. The Open Collections Program's website on Immigration to the United States is a treasure trove of primary sources on American immigration history.
The Library of Congress has put together an excellent website for students and teachers interested in the history of American immigration. The site, which includes many fascinating primary sources, is organized by ethnicity.
The United States Census is the best source of raw data on immigration (and many other topics in United States history). Here the Census Bureau presents a table detailing the nationality of the country's foreign-born population since 1850.
"Roots in the Sand" is a fascinating documentary on the unique Punjabi-Mexican rural immigrant community that developed in Southern California's Imperial Valley during the late nineteenth century. PBS's well-designed companion website includes excerpts from the film and primary sources.
Ellis Island was America's preeminent immigration center, processing the arrivals of more than 16 million people between 1892 and 1952. Today, Ellis Island is maintained as a museum and center for immigration history. The official Ellis Island website includes a free search tool that might let you find your own ancestors' immigration records.