Economic Data:
NBER Data
Bureau of Economic Analysis
Panel Study of Income Dynamics (PSID)
Datasets and Statistics (ALL) (University of Pennsylvania)
Datasets and Statistics (By Subjects) (University of Pennsylvania)
Princeton University Data and Statistical Services
Datastream (University of Pennsylvania)
Wharton Research Data Services (WRDS)
IPEA Data (Macroeconomic data for Brazil)
IBGE
Ministerio do Trabalho
Secretaria do Tesouro Nacional
Econometrics and Statistics Tools:
Cemmap Sofware Library (UCL)
Econometrics Laboratory Software Archive (Berkeley)
Bayes Net Toolbox for MATLAB
Econometrics Toolbox for MATLAB
Engineering Statistics Handbook
Bartlett Corrections
UNC Population Center Data Analysis Tools
Stata / UCLA Stata Portal / Boston College SSC Archive / Princeton University Data and Statistical Services on Stata
Princeton University Data and Statistical Services on SAS / UCLA SAS Portal
R Project
Princeton University Data and Statistical Services
Economic Theory:
David Levine's Economic Theory News
Game Theory .net
Finance:
Applied Microeconomics:
Iowa Electronic Markets
Concentration Ratios and Herfindahl Indices (2007, 2002 and 1997 Census of Manufacturers)
Academic Journals:
Economic journals on the web
American Economic Review
Econometrica
International Economic Review
Journal of Econometrics
Journal of Economic Theory
Journal of Political Economy
Quarterly Journal of Economics
Review of Economic Studies
Bulletin of the American Mathematical Society
LaTeX/TeX:
LaTeX Symbols
The Not So Short Introduction to LaTeX 2
MiKTeX
WinEdt
BibDB
UNIX, C and all that jazz
Economic Research:
NBER
World Bank
IMF
IPEA
Cowles Foundation
Institute for Fiscal Studies
Brazil:
Instituto de Estudos do Trabalho e Sociedade
IEPE/CdG
Miscellaneous:
Institute of Advanced Studies
IMPA
Some advice:
Thesis Research: Where Do I Start? (by Don Davis)
How to Build an Economic Model in Your Spare Time (by Hal Varian)
Writing Tips for Graduate Students (by John Cochrane)
Notes on Presenting a Paper (by Matthew Jackson)
Professional Associations:
AEA
Econometric Society
SBE
ANPEC
Game Theory Society
American Finance Association
American Statistical Association
Sociedade Brasileira de Financas
Math:
probability.net
SOS Math
Cut-the-Knot
History of Mathematics
World of Mathematics
Euclid's Elements
Math Virtual Library
MathPages
Mathematics Encyclopedia
PlanetMath