This applet estimates and plots the sampling distribution of various statistics. You specify the population distribution, sample size, and statistic. An animated sample from the population is shown and the statistic is plotted. This can be repeated to estimate the sampling distribution.

http://www.ruf.rice.edu/~lane/stat_sim/sampling_dist/index.html

A Java applet that clearly shows the difference between the distribution of the members of a dataset (dates of US pennies - skewed right) and the distribution of sample means.
http://statweb.calpoly.edu/chance/applets/SampleData/SampleData.html

This flash program shows the consistency of sample means from variously shaped populations. A student can change sample sizes, view raw data, choose samples singly or by the thousands, and observe changes as the sample numbers and populations change. It is also available as a stand-alone program (recommended for the classroom as it can be shown in full screen mode).

http://www.teacherlink.org/content/math/interactive/flash/sampling/sampl...