If you google something like "band" "setlist" you may find some setlists. For example, a google on "tool" "setlist" quickly led me to this guy's site with setlists:
http://www.geocities.com/killerbootlegs/tool.html
Also try keywords "band" "trade", as some traders keep very nice tradelists with links to the setlist/info files.
As Dave says above, it can be very time consuming, you may go through many pages of search results before finding a particular show (sometimes partly in a foreign language, but with the setlist in english). I have found setlists for old rare jazz shows this way, from traders web sites in Europe and Japan.
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