Stochastic Processes and Stochastic Integration - An online course by Marcus Pivato. Also covers discrete-time Markov processes, Brownian motions, Levy and Poisson processes.

Applied Probability and Stochastic Processes - An online course by Wlodzimierz Bryc in DVI, PS and HTML format.

A Compendium of Common Probability Distributions - A reference site describing many common probability distributions and their properties including, pdf, cdf, moments, random variate generation, etc.

Calculus and Probability - Online course by Stefan Waner and Steven R. Costenoble

Introduction to probability - A comprehensive course in probability by Oliver Knill

Lectures Notes from Varadhan - From S.R.Srinivasa Varadhan in pdf and ps formats, on measure theory, harmonic analysis, statistics and stochastic processes.

Introduction to Probability - An online textbook in PDF format, by Charles M. Grinstead and J. Laurie Snell

Probability and Random Process Class Notes - Class notes for a university course on probability and random processes, by John L. Stensby. Notes are in .pdf format. Introductory through advanced topics are covered.

Probability Theory: The Logic of Science - Online textbook by E.T. Jaynes in PS format.

Probability by Surprise - Contains class notes and applets for teaching an introductory probability class to engineers.

Steven Shreve's Lectures on Stochastic Calculus and Finance - Notes in probability theory prepared by Prasad Chalasani and Somesh Jha, with a strong bias towards financial modeling and option pricing.

Stochastic Calculus Notes - These notes by Alan Bain provide a complete elementary introduction to stochastic integration with respect to continuous semimartingales.

Virtual Laboratories in Probability and Statistics - Interactive course by Kyle Siegrist.