FBI files for everyone.
It's not an actualy government site, but The FBI Files has lots of genuine FBI files on celebrities, unexplained phenomenon, etc. available for download in .pdf format. The downside? Some of these files are a tad huge. I tried to download an early file on Lucille Ball (don't ask), but, according to my download manager, it was going to take over twenty minutes on my dial-up connection. Needless to say, I stopped the download.