Has anyone tried
http://m.gutenberg.org/? That's the link that Project Gutenberg gives when it says, "You can download our free kindle books directly to your Kindle by pointing your Kindle browser to m.gutenberg.org." Maybe they're discouraging Kindle users directly using the main site. Not that I have a clue why they'd do that, though.
Oh, sorry, I would test myself, but I haven't got my Kindle 3 with me right now.