Australia
"...All-in-one database search..."
Convict transportation registers database
"The British Convict transportation registers 1787-1867 database has been compiled from the British Home Office (HO) records which are available on microfilm. You can find details for over 123 000 of the estimated 160 000 convicts transported to Australia in the 18th and 19th centuries - names, term of years, transport ships and more..."
State Archives are great resources for finding information and many of them are now digitising their indexes -
Queensland: Brisbane: Index to immigrants landed at Brisbane, 1885-1917
Society of Australian Genealogists Facebook page
(You'll need a Facebook account to log in)
State Library of New South Wales
Tasmania: Index to Tasmanian convicts
"This comprehensive index of all convicts transported to Tasmania and those who were convicted (through the convict system) in the colony was created by indexing all original records we hold from the beginning of transportation in 1804 until 1853 when transportation ceased. The latest entry in the database for the locally convicted convicts is 1893. About 76,000 people are indexed..."
See Lynda's Links for more free archives, indexes, transcriptions, etc.