Ed Allen’s Rencounter was the first set of free wargames rules that I found on the net. And I still think they’re one of the best.
Update: Ed Allen’s site is off the list. You can find them here.
You can also get the pages reproduced as a pdf here.
Tanzanica is a set of free wargames rules for Darkest Africa adventures by Brett Abbott. The rules actually are a variant of Games Workshop’s Mordheim miniatures rules, which are themselves free at the Games Workshop living rules archive. Mordheim is a neat set of rules for the kind of game where each player controls a small group of characters, with one uber-character and several flunkies.
Free Colonial Skirmish miniatures rules from the prolific Steve Winter: Stand To!
Here’s a set of instructions on how to build a variety of buildings for your colonial wargames.
There is no shortage of free wargames rules for the Colonial period. A good one is the Two Page Skirmish rules from Steve Winter.