Ed's Hobby Hovel is a good general gaming site. His GameLinks is one of the more exhaustive linklists out there. The Dortmund Amateur Wargamers have a very nice site - good photos, interesting scenery tips, and other items. Interesting Places Links is another links list, with a lot of company weblinks. A bit disorganized, but growing.
Links has a bunch of gaming-related links and a load more misc. links.
Web Grognards is possibly the largest, most complete wargaming site out there. Thomas Pope has a very nice general miniatures page, which includes the Miniatures Wish List , from rgmm threads. Tod A. Zircher's Home Page has a variety of SF and gaming-related sections, including pictures of Bolos, and interesting links. Thomas Heaney's Miniature Wargaming pages has SG2, DS2, and other game stuff, in a really nice looking site. The Somerset Irregulars have great photos and information, and some good links.