A Java applet in which students can change the number of points and the correlation coefficients, as well as add points. They can also show the regression line and the residual plot. Three thumbs up!
http://stat-www.berkeley.edu/~stark/Java/Html/Correlation.htm

Six points are shown along with a line that passes near them. The applet shows the square of the residual of each point as well as the sum of the squares. Your task is to change the gradient and y-intercept of the line to minimise the sum of the squares. Three thumbs up!

http://www.dynamicgeometry.com/JavaSketchpad/Gallery/Other_Explorations_...

Add some points to the scatterplot. The applet will calculate the correlation coefficient and the sum of squares. You can also choose to show the least-squares regression line and the x-mean and y-mean lines. Very instructive!

http://bcs.whfreeman.com/yates2e/pages/bcs-main.asp?v=category&s=00020&n...