Stole this from the Mariner's blog but thought it could be useful for all so here it is...

Baseball-Reference: I probably visit this place more than every other website combined. If you need some numbers and don't know where to find them, start here. It doesn't have many of the complicated new-age statistics (OPS+ is about as nerdy as it gets), but it's got tons of splits for players, teams, and leagues, along with pitch data summaries (swinging strike % and all that good stuff), historical information, game logs, transaction summaries, and terrific loading times. Go here. Look around. Get familiar. You'll be glad you did, because what I've told you so far doesn't even scratch the surface of what this place offers. Sean Forman is a hero.  http://www.baseball-reference.com/

Minors.Baseball-Reference: just what it sounds like - a place to find minor league numbers. Not nearly as detailed as the big league site, but that's hardly a fair comparison. Usually the first place I go when I need information of its kind.  http://minors.baseball-reference.com/

Hardball Times: this post is strictly about statistics, but you should go here for the main page articles, too. Anyway, THT's statistical database is almost overwhelming. It's got offensive, defensive, and pitching stats for both players and teams, along with a handy sortable feature. Runs the gamut from batting average and hits to xFIP and LOB% to RZR and OOZ. Second-most frequently visited baseball resource. (Note that HR/FB is park-adjusted.)  http://www.hardballtimes.com/main

Fangraphs: some overlap with THT, some unique. It's got basic stats, complicated stats, batted ball data, game logs, WPA stuff, pitch frequencies, and convenient leaderboards that seem to get better every week. David Appelman is also a hero. (Note that HR/FB is not park-adjusted.)  http://www.fangraphs.com/

Baseball Cube: a lot of what they do is done better somewhere else, but this is still where I go when I'm curious about how a player did in college. Also offers minor league stats.  http://thebaseballcube.com/

Josh Kalk's pitcher cards, batter cards, and PITCHf/x tool: the only places to get data of its kind. Tons of stuff using the PITCHf/x information (pitch type, velocity, movement, etc) gleaned from MLB Gameday. Please welcome the new age of statistical analysis.  http://baseball.bornbybits.com/plots/players.html
http://baseball.bornbybits.com/plots/bat/batter.html
http://baseball.bornbybits.com/php/combined_tool.php

Hit Tracker Online: velocity and distance information for home runs, updated daily.  http://hittrackeronline.com/

Baseball Prospectus: the place to go for all those stats that Bill Plaschke doesn't understand. EqA, VORP, RARP - it's all here.  http://baseballprospectus.com/

Day by Day Database: David Pinto's tool allows you to find out how a player performed between two given dates. Can be broken down further by a few splits.  http://www.baseballmusings.com/cgi-bin/ChoosePlayer.py

Probabilistic Model of Range: more of David Pinto's work. This is where you go for PMR's interpretation of player/team defense.  http://www.baseballmusings.com/archives/cat_probabilistic_model_of_range.php

Tangotiger.net/mgl: this is where you go for UZR's interpretation of player defense. If you can't find what you're looking for there, try searching the comments of the Inside The Book blog, run by Tango and Michael Lichtman.  http://tangotiger.net/mgl/

tRA: Graham's awesome homemade pitching metric. Graham rocks. (Also, further explanation.)  http://lookoutlanding.com/story/2007/12/21/125546/80

First Inning: offers some minor league splits, batted ball stats, and spray charts. Also has much of the same information for Major Leaguers, although that's not why I use it. I like the spray charts better than MLB.com's.  http://firstinning.com/prospects/nym/

Minor League Splits: has minor league splits.  http://minorleaguesplits.com/

Cot's Baseball Contracts: contract information website that couldn't be better if it tried. Absolutely perfect at what it does.  http://mlbcontracts.blogspot.com/

ESPN: I haven't visited this website in at least a few months. You shouldn't either.

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I think that about covers it. I could be forgetting a site or two, in which case I'll add it to the list as soon as I remember. If you have any questions about where to find certain kinds of information, feel free to ask in the comments.