links
software
My preferred statistical package and the one I use for teaching is R, which is freely available. A very nice introduction with plenty of examples can be found here: Quick-R - this site does not explain much about the methods and assumes you have some experience using statistical software, but it explains the R quite well.
Stata is an advanced commercial package for statistical analysis. Slightly easier to use than R, but with a very awkward programming language, and not free. If you want ease of data management, don’t care about paying a lot, and have no aspirations to do anything out of the ordinary with statistics, SPSS might be a good idea.
To make your papers look professional, especially when using any math, I would strongly encourage learning LaTeX. Add Bibtex and you have an excellent system for academic papers. It’s all free. (See below for additional links.)
The latter two require an editor to maintain your files. I’m a big fan of Emacs, including versions for Windows and the Mac.
statistics
Wolfram’s MathWorld is an excellent source for the technical details of everything related to math, including statistics.
The ISI Glossary of Statistics provides an extensive list of statistical terms and their translations in many different languages.
data
Political, Social, and Economic Data Sets
Paul Hensel’s International Relations Data Site
Guide to Political Science Data
Political Science Data
Replication data of the International Studies Quarterly
IQSS Dataverse Network
World Bank Data
OECD Statistics Portal
Eurostat
Central Statistics Office Ireland
help, tips & tricks
Latex / Bibtex
Tips and tricks for LaTeX and friends, including on graphics programs and languages that are useful within Latex.
(Statistical) programming
Coding style and good computing, by Jonathan Nagler.