An on-line source of bird songs can be found on the Percevia Birds of North
America Search Engine:
The search engine is still under development and is improving nearly every day.
I think most species now have sound files. If you don't need to search based on
the bird's appearance, etc, you can click on "View or Listen only" (near the
bottom of the page), then click "Listen to Call" to see a list of all species.
Click on a species to hear the song. It's a fun site to play with, but a bit
slow on a dial-up connection.