There's a great list here: http://www.ladyada.net/library/procure/samples.html
I have managed to get many free samples from companies. I can offer you this advice:
Don't order more than two or three of any one product line. It's coming for free, keep it sensible. Some companies will want a UPS (or other) shipping account number. This is their best way of ensuring they're sending to a 'real' company.
A 'corporate' email address really helps — I have my own domain name, which is fairly cheap.
Not all companies will give samples of all of their products.
Sites that require you to register and order the samples using a cart are much more likely to send them to you than companies where you fill out a long form with part numbers.
Generally, ICs and semiconductors will come much more readily than other passives — ICs, MUCs and LEDs are much easier to get than resistors and caps.
DON'T order more than once every month or so from each company. They're sending you free stuff, treat them well.