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Probability Tutorials
Tutorials in measure theory, lebesgue integration and probability, by Noel Vaillant

Applied Probability and Stochastic Processes
An online course by Wlodzimierz Bryc in DVI, PS and HTML format.

Calculus and Probability
Online course by Stefan Waner and Steven R. Costenoble

Introduction to probability
A comprehensive course in probability by Oliver Knill

Lectures Notes from Varadhan
From S.R.Srinivasa Varadhan in pdf and ps formats, on measure theory, harmonic analysis, statistics and stochastic processes.

Introduction to Probability
An online textbook in PDF format, by Charles M. Grinstead and J. Laurie Snell

Probability Theory: The Logic of Science
Online textbook by E.T. Jaynes in PS format.

Probability by Surprise
Contains class notes and applets for teaching an introductory probability class to engineers.

Steven Shreve's Lectures on Stochastic Calculus and Finance
Notes in probability theory prepared by Prasad Chalasani and Somesh Jha, with a strong bias towards financial modeling and option pricing.

Stochastic Calculus Notes
These notes by Alan Bain provide a complete elementary introduction to stochastic integration with respect to continuous semimartingales.