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...