The MathFinance site has some implementations for some different pricing models (I found it when I was researching Heston's model for stochastic vols.
Check out Simon Benninga's website.
Downloading current stock prices
Wilmott - Quantitative Finance
Paul Wilmott has a great site on Quantitative Finance. Definitely check out the forums on this site.
Statistics Departments for Various Countries
The US Census Bureau has a site listing the department of statistics for various countries.
An excellent repository of credit derivative information is at DefaultRisk.com.
The American Stock Exchange has a great site giving definitions for all sorts of financial terms related to financial risk management.
Monte Carlo Simulation
This site is for people using the Monte Carlo method.
Seminal papers on Finance
I've got a list of seminal papers on finance.