There are 3 way of getting new instruments to work with LMMS, assuming you're on windows, and they are: Samples, VSTs (Virtual Studio Technology) and Soundfonts (SF2).
Samples are usually used for drums and FXs, so if you want new instruments you should go for Soundfont and vsts. Soundfont are just multisamples sound in a pack, and so they're usually orchestral sound like strings or pianos, but not all soundfonts have velocity editing as an option.
So, usually the best way to get new instruments is using VSTs (on windows), which are mostly Synthesizers, but also Orchestral instruments as well. The best site where you can find the vst you need is https://vst4free.com, where you can surf thorugh all the categories to find what you need.
But that's only a site, if you need a more complete list, there is this one on the forum where there are a lot of sites where you can get new sounds for free http://lmms.io/forum/viewtopic.php?f=4&t=27488
P.S: To work with vsts, you need to load the .dll file downloaded in lmms using the native plugin VeSTige. Also, with vsts you can get ton of new effects