The Franklin D. Roosevelt Presidential Library and Museum has digitized portions of its massive collection of FDR documents and made them available to the public at its website. A great collection of primary sources from FDR's presidency, including his fireside chats and a considerable trove of images and audio-visual clips.
The New Deal Network is a massive online archive of resources relating to the history of the New Deal, lovingly maintained by modern-day backers of the Roosevelt legacy. Includes more than 900 documents and 5000 images.
PBS's American Experience offers a solid website to accompany its FDR episode of The Presidents. Great introduction to the man and his legacy.
Social Security was the New Deal's most important lasting contribution to American society; the Social Security Administration, created by FDR and Congress in 1935, maintains a very detailed website chronicling its own history.