Please note these are not officially affiliated with, or endorsed by, LEGO.

Feel free to add more links to this thread, thanks.

Buying and selling
http://www.bricklink.com/ (allows you to filter by sets, parts, instructions, original boxes, catalogues, etc.)
http://www.brickarms.com/ (military themed minifig weapons and accessories)

Guides
http://brickset.com/ (old and new official sets)
http://www.worldbricks.com/ (Instructions and catalogues library)
http://www.peeron.com (Parts database / listing for sets)

MOCs and Adult Fans of LEGO sites (AFOL)
http://www.brickshelf.com (Fan MOCs)
http://rebrickable.com/ (Instructions for alternative builds - includes both official and fan made ones)
http://www.hispabrickmagazine.com/en.../tags/download (Free AFOL LEGO PDF Magazines)