Most modern Linux distros incorporate some sort of Package Management system
. These Package Managers connect to servers where extensive lists of software, along with the necessary downloads, are kept. Look in your distro's main menu for something along the lines of "Add and Remove Programs" to access this data, select software to install, and have it automatically downloaded and installed for you.
You can also look at the links already provided by the previous responders or this one: http://www.linux.org/apps/
to get an idea of the shear number of programs available.
Knowing which distro you're using would help us be more specific!