http://www.aesearch.cjb.net

That's a digisub search engine :D A lot of the 
sites now require a streamloas account, but many 
don't. It helps to have an ftp program.

Also, try:

http://www.bakamx.com
http://www.elite-fansubs.com
http://www.animefactory.net
http://www.ochiba.net

Also, many sites on the MRSA (MP3 Request Sites 
Affiliation) carry digisubs, most prominently 
CAJP (Cycling Anime J-POP), listed here:

http://personal2.redestb.es/lgn/index.htm

Basically, if you travel around on links from 
these sites, you should find a good deal of 
anime. Enjoy!

-Misha

-P.S. May I also suggest using mIRC, or, as 
someone else said, a peer-2-peer program, such as 
WinMX, Kazaa, Gnutella, etc.