The Math Forum Home Page from Swathmore is an excellent resource guide that contains a significant collection of annotated math materials for Research Mathematicians. This document is very long but very useful.
The The Mathematics On-Line BookShelf contains information on mathematics books
at all levels, from undergraduate college through research level, from the most important publishers in the field.
Six Lectures on the Mathematical Aspects of Information Theory given by John Kieffer of the University of Minnesota while visiting professor at The University of Arizona.