“ShareILL is a gateway to electronic and print resources pertaining to all aspects of interlibrary loan (ILL), document delivery, and resource sharing.”
As Sarah points out, although it is a US project it has information that is relevant to ILL outside the US. She highlights the list of National Libraries and Archives – “promoted as the most complete and current list of national library web sites in the world” – and the Gateways and Union Catalogs page, which has world-wide coverage.
Although I do sometimes use interlibrary loans, the main application of these catalogues and archives for me is that I can verify the more obscure and unusual books and journal articles. Amazing how many hoaxes and and urban myths have been uncovered by simply checking whether or not the ‘peer reviewed’ references actually exist.
ShareLL is a wiki, which means that you can update and add information yourself. Have a look and, if you know of a resource that is missing, get in there and add it to the list!