Did you check physionet, if you search you can find other links as well like:

http://solutions.3m.com/wps/portal/3M/en_EU/3M-Littmann-EMEA/stethoscope/littmann-learning-institute/heart-lung-sounds/

Welch Allyn has a free zip file of normal and abnormal heart sounds including a tutorial helping the student to know what to listen for:  http://www.welchallyn.com/en/students/student-clinical-learning.html

Physionet mentioned by Samaneh is typically free and that is certainly a source for annotated ECG waveforms, but I'm not familiar with heart sounds.

Littmann also has a free solution IF you have a registered Littman stethoscope.  http://www.littmann.com/wps/portal/3M/en_US/3M-Littmann/stethoscope/littmann-learning-institute/heart-lung-sounds/  (this is probably the same as Samaneh provided since 3M owns Littman)

http://www.littmann.com/wps/portal/3M/en_US/3M-Littmann/stethoscope/littmann-learning-institute/heart-lung-sounds/

please check:

ftp://ftp.ieee.org/uploads/press/rangayyan/

and

http://www.evicab.eu/bme/07ranga/book/index.htm

You can download the attached files from the first one and other types of biosignals.

Please check:

http://emedicine.medscape.com/article/1894036-overview#aw2aab6b8

murmurlabs.org