Rossman and Chance Collection
Be sure to try the Reeses Pieces Distribution applet.
Rice Virtual Lab in Statistics by David Lane, section on Simulations/Demonstrations.
The Sampling Distribution Simulation is especially useful for teaching.
Link to Downloads where you can download Gapminder Desktop, a special program to display changes in variables and their relationships over time. Link to videos by Hans Rosling, definitely not to be missed!
Downloadable interactive games by Gary Smith, available for both PC and Mac, demonstrate concepts like means, boxplots, and statistical inference in a game setting. For example, students can generate their own data in a game and test whether they swing too early or too late in Batting Practice under Statistical Inference.