Let me start with my favourite one which is provided by Finance Yahoo. Basically Yahoo offers two kind of screening based on funadamental analysis. The first one is Basic Yahoo screener (HTML version) allowing to sort shares according to major indicators like P/E, P/B, PEG, Div Yield, estimated EPS etc.
Advanced Yahoo screener is adding more detailed view with RoA, RoE, insiders and institutions held and much more. You can find several preset screens for value or growth for small, mid or large caps. This screener is Java based. And in my view the best one which is for free.

MSN screener has only basic indicators without numeric range. Possible value is either "low" or "high". Except of this you can try also MSN Stock power searches which has preset indicators and is far better.
Another free tools are from Mornigstar like Stock Selector, ETF or Fund screener. Morningstar Stock selector is flavoured with stock grades but it doesn't have so much advanced functionality like one fromYahoo.
Nice tool, NASDAQ Stock screener, can be found on official NASDAQ page allowing to scan major US stock markets.
There another quite good stock screener http://www.kiplinger.com/tools/stockfinder/
Thank you Petr for notification. I've added to my screener links. I think this is good one.
I found the links are very useful, thank you!
Could you please add a link for Australia stock screener:
http://www.sharefilter.com/