General:

The Barrow-Downs
All things Middle-Earth including an encyclopedia, a name generator, and several fun games and quizzes.

The Dragon's Mark
A Tolkien name generator

Information:

The Encyclopedia of Arda
A reference guide to the works of J.R.R. Tolkien

Thain's Book
An encyclopedia of people, places, creatures, things, and events in the Hobbit and LotR.

Tolkien-Online
An excellent web site devoted to J.R.R. Tolkien and his works, including the works of Christopher Tolkien.

Languages:

Ardalambion
A comprehensive site of Tolkien's invented languages.

Merin Essi ar Quenteli
A guide to names and phrases in various Tolkien languages.

Pictures:

Middle-Earth
Contains pictures by Tolkien, Alan Lee, Ted Nasmith, and others.

Music:

Radio Rivendell
An online radio station that streams fantasy music 24-7.