There are a lot of free forum software available, it depends what you're running on your site I guess and what you have available database wise.
Postnuke is very popular for php -
www.postnuke.com
here's one for asp which I found a while back which seems very good too
http://www.devscripts.com/viewscript.php?sId=636
If you're looking just to link to an external forum running on another site I havent done any research but a quick search on google for free forums should get some good results
hth