I've compiled a list of free graphics and sound files that you can use in your games. The chapter on using graphics and sound files with the Pygame library is in Chapter 19 of the "Invent with Python" book.

UPDATE: I just found a great, huge list: The Ultimate Indie Game Developer Resource List. There's also the Wikimedia Commons, OpenClipArt.org, and www.sxc.hu, a free stock photography site.

2D Graphics, Art, and Tiles

• OpenGameArt.org - One of the best collection (in my opinion) of free 2D artwork.
• hasgraphics.com - The other best collection of free 2D artwork.
• www.derekyu.com/tigs/assemblee - Good collection of random art.
• Sithjester's RMXP Resources - Awesome collection of 2D sprite characters.
• Dungeoneering.net - Fantasy and RPG tiles. Check out their Most Downloaded section.
• Lost Garden - A good blog, and also where you can find the very generic but handy PlanetCute tiles.
• Texture Lib - Several photographic textures that are free to use.
• Ambardia.com - Reiner Prokein has released his fantasy RPG graphics for use by others.
• The Spriters Resource - A decent collection of sprites. Contains sprites from old video games, so there may be copyright issues if you widely release or sell your game.
• A complete set of 16x16 Roguelike/RPG tiles.

Sound Effects

• The Freesound Project
• SoundJay.com
• PacDV.com

Music

• No Soap Radio - Free music organized for game genres.
• Jamendo.com - Modern indie music released under Creative Commons
• The Video Game Music Archive - Music from old video games. There may be copyright issues if you widely spread or sell your games with this content.
• Public Domain 4 U - Old and new music that is in the public domain.
• SimplytheBest Sounds - This site has both music and sound effects.

Useful Software

• Greenshot - Take pictures of your screen. Helpful if you want an image of something that is on your screen.
• Audacity Sound Editor - An excellent audio and sound file editor.
• Tile Studio - A tile editor.
• as3sfxr - A Flash tool for generating sound effects.
• bfxr - Another Flash tool for sound effects.