Cut The Knot – Lots of problems and puzzles, and excellent applets demonstrating geometry theorems.
Nick’s Mathematical Puzzles – A huge collection of puzzles, categorized by difficulty.
Jim Loy’s Mathematics Page – Several articles about mathematics, written by a polymath.
Ask Dr. Math from The Math Forum – Students write to this site for help with problems ranging from routine homework exercises to classic puzzles; browsing the responses is a good way to find interesting problems.
xkcd – “A webcomic of romance, sarcasm, math, and language.”
Vi Hart – Mathematical Doodling – She’s the Martin Gardner of the Internet Age.
D.E. Joyce’s interactive guide to Euclid’s Elements – Euclid’s Elements is a text that cries out for hyperlinks. Helpful applets here, too.
Visual Reimann sum, trapezoidal rule, and Simpson’s rule calculator – Shows you the visual and crunches the numbers.