I've spent a good bit of time scouring the web looking for good informational sites and how to plus places to purchase from. Here they are, enjoy.
Games Workshop - The company that produced 40K and Fantasy.
Malifaux - Wyrd Miniatures and Games
Forge World - Part of Games Workshop, makes specialty models and upgrades for your models.
Army Builder - Program for creating your Army Lists. Lists information for quick reference and is easy to use.
Paint Color Matrix - A chart that shows the color names for most of the main paint brands over on Dakka Dakka. Very useful if you are trying to match a color being replaced.
Tutofig - A very nice site with a ton of tutorials on everything modeling related.
Blogs and Information Sites:
L33tLikeUs - a Nerd Blog about nerdy gaming stuff.
Facing the Grey Tide - A nice site, good reading, painting and information.
The Bolter and Chainsword - a good site for anything Power Armor
Warseer - a general forum for everything 40K
Dakka Dakka - another general forum and information site
From the Warp - a blog site with gaming and painting information
Tale of Painters - A blog site for painting and modeling
Bell of Lost Souls - 40K Information and Rumor site
40K Online - A forum site that has a good bit of Eldar info
The Lexicanum - 40K Background Fluff
Eldar Dictionary - Fallen Princes has comprised a very good list of terms
Boot Camp - IG forum
Awesome Paintjob - Les offers some very good painting information
Chest of Colors - Painting information
Doctor Faust's Painting Clinic - Painting site that's been around for a long time
Servants of the Imperium - 40K Comic
Malifaux Wiki - A good breakdown for factions, models and the game.
Dick Blick Art Supplies
Plaza Art Supplies
Secret Weapon Miniatures - A site that sells bases, weathering powders and much more.
Chapterhouse Miniatures - Conversion bits and minis
Dragonforge - Bases and other bits
Micro Art Studios - sells bases and other materials. I have never ordered from them.
Craft Chain - A recent find, I'm about to place an order for some of their micro chain.
K & J Magnetics - Rare Earth Magnets
Micro Mark - Awesome selection of tools
Bare Metal Foil - Modeling materials.
Miniature Market - A great site to order from.
The War Store - Another good site.