I have just come across a very exciting project on the internet, which aims to catalogue all the of the 1.8 million species that live on the Earth! It is a huge undertaking and although there are not nearly that many on there yet, there's a huge amount of information there already. Have a look at EOL.com.

I think I could sit there all day looking at all the species!

On a related point, it is my understanding that there are many many species (especially insects) that are yet to be discovered, so perhaps the claim of cataloguing all the species is a slight exaggeration?

Sounds like a very ambitious project to me, especially, as you rightly say, there are many species yet to be discovered. Almost every deep sea exploration results in the finding of a new species and the number of islands and land areas still not explored in depth will yield many new species too I bet.