Do you know grfcrawler? There you should find most newGRFs. Should you (also) fancy playing OpenTTD, the newest beta version allows downloading some newgrfs in the client. Oh, and read the stickies in this sub-forum. It covers exactly your question.
Oh wow, you have managed to find the correct section of the forums and still ask for what is in the section. Maybe you are as smart as your spelling is correct.