(1) Confidence intervals on the mean are generated for simulated experiments. The confidence level and sample size can be altered. Note that the website currently doesn't work with Netscape/Mozilla 4.0 or higher.
http://www.ruf.rice.edu/~lane/stat_sim/index.html

(2) This applet simulates finding confidence intervals for the mean of a normal random variable. A sample of size 20 is generated from a standard normal random variable.
http://www.math.csusb.edu/faculty/stanton/m262/confidence_means/confiden...

(3) This applet is similar to (2) above, except it repeats the process a chosen number of times
http://socr.ucla.edu/htmls/exp/Confidence_Interval_Experiment.html

And here are some notes/instructions for this applet
http://wiki.stat.ucla.edu/socr/index.php/SOCR_EduMaterials_Activities_Co...