You can start here at the Reference and Users Services Association for information on Using Primary Sources on the Web
General Sources
Library of Congress - A good primary source site for history. The digital collections include photos, books newspapers and more. Includes American History and World History sources.
National Union Catalog of Manuscript Collections (Library of Congress)
OEDb 250+ Killer Digital Libraries and Archives (Open Education Database) Contains state by state links to digital sources.
Mexican/Mexican American/Latin American History
Aztec Club - database search - most complete record of Mexican War service by American officers
Digital Archive of the Guatemalan National Police Historical Archive (The University of Texas at Austin)
Military Resources: Mexican War, 1846-1848 Archives Library Information Center (ALIC) (National Archives)
Historic Mexican and Mexican American Press The University of Arizona's Border Newspapers Archive
Arizona
Arizona Digital Newspaper Program
Arizona - Arizona State University Online Collections - Archives and Special Collections
Arizona - Northern Arizona University Special Collections and Archives
The University of Arizona Library Special Collection - Digital Collections
California
California - The Brancroft Library, University of California History Digital Archives
California State Library - Internet Archive
Claremont College Library Special Collections - Digital Collections
Marin County Free Library - Digital Collections (San Francisco Bay Area)
San Francisco Public Library - San Francisco Historical Photograph Collection
Santa Clara University Library - Special Collections
New Mexico
Eastern New Mexico University - Oral Histories - from Roosevelt County and Easter New Mexico
New Mexico's Digital Collections, Palace of the Governors - The New Mexico History Museum
New Mexico State University Library Digital Collections
University of New Mexico, New Mexico's Digital Collections
Texas
Texas A&M University Libraries Digital Collections
Digital State Archives - Texas
Texas State Library and Archives Commission Online Collections
UTSA Digital Collections (The University of Texas at San Antonio)
UNT Digital Collections (University of North Texas Libraries)