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589 Games: 1901-1939
ftp://ftp.pitt.edu/group/chess/PGN/Players/capa2-pg.zip
Click to download zip file (PGN format).
José Raúl Capablanca
http://www.chessclub.demon.co.uk/culture/worldchampions/capablanca/capablanca.htm
Gives details about him and his career.
World Chess Championship 1921: Capablanca - Lasker
http://www.mark-weeks.com/chess/21cl$wix.htm
Includes downloadable .PGN games, crosstable, and key game positions from this FIDE match.