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HowardFrank, a great site for stats like this is www.baseball-reference.com.
There is a tab above each players stats that says "splits" and it allows you to choose the year you want to view for a particular player. I think they only have that info back to about 1958 though so you can't check on players like Ruth or Cobb.
http://www.baseball-reference.com/
http://www.baseball-reference.com/pi/bsplit.cgi?n1=fostege01&year=1977
You'll find the home/road splits just a little down the page. You can also find day/night splits, vs. lefty/vs. righty splits, monthly stats, etc. There is another tab that will allow you to check a players game stats for every game of a particular season.