Some time back I ran across this great genealogy resource from the US Citizenship and Immigration Services. They will do lookups of immigration and naturalization records. You can pay for an index search or record request at fairly reasonable fee levels ($20/$35 depending on the item...)

The records they have go back to approximately 1906 judging from their page, but it still may be a valuable resource for those of you who had immigrant ancestors come into the country since then.

I've been meaning to post this for a while and I've added to the links list in the sidebar.