On a similar quest.
One of the lists I check daily are Google Finances lowest Betas bit.ly/GFscreener12
Shows me a handful of companies with healthy financials and each correlated to the market by 0.33 or less, so it doesn't have to tank along with the S&P 500 as much.
Another using similar criteria but sorted by highest dividend yields:
To try and keep the results little correlated to each other, run that screener once for each of the 12 sectors, for example.
Somewhere I used to use a site that measures and graphs direct correlations. Let me find that link and post back.
Here's one popular Correlation Tracker.
Ah,yes. Remembered the one that's been my favorite: Impactopedia