Role playing games are fun, but can get pretty expensive. Between books, minis, modules, maps, special dice, snacks, and other sundries, it ain't easy to do on a budget. This is especially true if you're playing the latest version of whatever, because the companies that make it wanna turn a profit and tend to favor box sets and elaborate full colour hard covers, and that stuff isn't free.
So here's some stuff I've found that is free. Most of it has been around for a while, but it never hurts to put it all in one place for my own sake as well as yours, and you may find something you haven't seen before. I don't think I'll put any random generators on here though, 'cause that a whole 'nother bag o' snakes.
Dragonsfoot: This is one of the first "homebrew" style sites I ever found. It's a whole mess o' 1st and 2nd Edition AD and D content supplied by contributors to the site, so it can be a bit of a mixed bag, but free is free and chances are you're gonna have to modify a professionally published module you paid money for anyway. There's homebrew classes, spells, modules, reference sheets, you name it.
Labyrinth Lord: Speaking of old school gaming, I've played this 1st Edition D and D clone a few times now and had some good fun with it. You can buy the books if you like (I did, it's nice to have them at the table with you), but the PDF "no-art" versions are free for download. If you look around the site a bit, you'll likely find some more free stuff as well; I just downloaded the Mutant Future rules for the game, didn't even notice 'em before.
Free Adventures: Some of the links on this Dungeonmastering.com post are dead; looks like Wizards of the Coast killed a lot of the free 4th edition stuff they had kicking around for some reason. However, looks like plenty of the 3.5 ones still work. I was going to post a link to the full 3.5 archive they used to have, but it looks like they killed a bunch of that too. But if 3.5 is your thing....
The Hypertext d20 SRD: An enterprising soul named Jans Carton has put together this speedy reference for the whole darn system, as well as some nice extras like a "dice bag" and spell and monster filters. It's not a download like the other stuff on this list, but if you use a lap top or something at the gaming table very often, holy geez would this thing be handy. God bless the Open Gaming License. And speaking of the OGL....
D20 PFSRD: Here's Paizo's version of the same thing. It doesn't have quite the elegance and ease of use of the one above, but it's got all the Pathfinder additions and alterations, and still makes a handy reference.
GURPS: This stands for Generic Universal Role Playing System. I haven't played it before, but this free download has got me interested. Which is obviously it's intent, but still. It uses only six sided dice, so that makes things a bit easier, and it can be modified to fit basically any setting, time period, planet, dimension, what have you. The PDF download in the link doesn't seem to have quite enough info to run a game (at least not easily), but it looks to be a good introduction for prospective players. Even if it's a marketing ploy to get you to buy the books, it's a darn good marketing ploy, so kudos all round.
That should be enough to keep you busy for now. I'm always looking for more, so leaving links in the comments is good.