This is typically called a "stock screener".
I ran across a web site that offers stock screening called FinViz.com , check it out. (click on link).
Say you like the idea of purchasing stock when there is insider stock purchasing happening.
I reviewed that screener (click), and out of all of the insider stock purchases, the one that looks most interesting is PCX. From a chart perspective, looks OK to buy a little here. I wouldn't load the boat. After all, insiders at bear sterns probably lost their shirt in stock options. So insiders may not be any smarter than you.
Like to catch falling knives? Try the biggest loser page. Drugstore.com if you don't think they are going to implode doesn't look too horrible to buy between 2 and 1.50.
The site also has a nice pictorial image of ALL stocks in the S&P 500 what they did the previous day. A really nice at-a-glance screener.
So check out FinViz today! (I'll add to my recommended tool list on right of blog)