it should be remembered that
most (but not all)
subspecies are impossible to separate without measurements or only differ in tiny details of color hue. In species, at least most can be separated based purely on visible features that don't require in-the-hand examination.
And yes, there are tens of thousands. In birds, there are 10000+ species and 20000+ subspecies (excluding nominotypical). In mammals, there are 5000+ species and I have no idea how many subspecies, but certainly 10000+.
For a complete illustrated work of all bird species, you should visit the nearest major library and check if they have Handbook of the Birds of the World. It is in 16 LARGE volumes. It is the first and so far only work that has illustrations of all described species in an entire animal class. You can also buy it, but it isn't cheap (~2700€/3500 US$). The same publishers are working on a similar publication for mammals called Handbook of the Mammals of the World, but so far they've only published the first 2 volumes and it'll be many years before they're finished with the rest. You can also look at smaller publications, e.g. field guide type, but there are many regions, especially in mammals, without decent field guides. In mammals, there are many species that never have been illustrated or photographed, especially when looking at smaller, primarily nocturnal species such as rodents, shrew and bats. For example, while Kingdon's guide to mammals of Africa is excellent and easily the best single guide available for this continent, it only has one illustration for most small mammal genera, no matter how many species the genus actually has.
If you're just looking for a taxonomic list with all species and subspecies:
Mammals (not updated since 2005)
Mammal Species of the World
Birds
IOC World Bird List
In both, keep in mind that there are many different ideas of taxonomy and it is almost impossible to find two biologists that agree on all.
There really isn't much in terms of free mammal photo sources on the net. You can do a random google or flickr search and hope that whoever took the photo actually got the identification right. For birds, there are various local photo databases (e.g. covering Africa only) that are quite reliable and fairly complete. Bird photo databases that cover the entire world are far from complete, but the nearest are probably
http://www.mangoverde.com/birdsound/index.html (5641 species) and
http://www.flickr.com/groups/birdguide/ (scroll down for index, about 7000 species).