All kinds of (depressing) data about disease and death from the Center for Disease Control.
US 2000 Census data.
Datasurfing - a listing of boatloads of websites where data are available.
StatLib - a dataset archive at Carnegie Mellon University.
The Exploring Data site has useful descriptions and examples of some of the more common exploratory data analysis (EDA) tools.
This applet simulates bivariate normal distributions with various parameters.
This applet allows one to investigate the effect of one new point on a regression line.
A collection of applets for various statistical tests.
Another collection of applets and components of applets. (The Probability and Statistics Object Library.)