I'm not aware of anyone who gives away this or any other information on foreclosures for free.
One option that hasn't been mentioned yet is to subscribe to the county newspaper of record. For example, the Shelby County Reporter has most all the Shelby county foreclosure and sheriff's sale auction notices in the legal advertisements in their want-ads section. All foreclosures and sheriff's sales must be advertised for a period of time, usually 3-4 weeks, prior to the auction. I believe a subscription is around $25/yr or so.
Once you have the information, you could purchase a foreclosure property at the courthouse steps on the day of the foreclosure auction. This is usually risky, but depending on the area of town and the amount of the loan being foreclosed, it could be an option. Once you have the address, you can do your homework and show up at the auction to bid. Since there is no agent commission involved at this point, and since we agents don't like to give away service and expertise for free (we do like food with our meals!), you'll be on your own on this type of transaction.
Otherwise, the banks will most often put the property with an REO agent and it will be listed in the MLS like any other property listing, though there will usually be certain owner-required conditions on any offers. Sometimes, banks will also advertise the property on their own website, but the property will usually be listed in the MLS as well. Buying this way, it is best to have your own agent working with you to guide you through the process as mentioned in the other answers here.