Atari - www.atari.com is now owned by video game publisher Infogrammes
AtariAge - The AtariAge store has homebrew games, circuit boards and much more. Highly recommended.
AtariAce.com - Systems, games, and accessories for sale.
B & C ComputerVisions - Atari parts, carts, hardware, and supplies.
Video Game Connections - classic carts for sale
Good Deal Games - A huge site with everything you can imagine.
Game Over? - Visiting Amsterdam? Drop by Game Over, classic and modern games for many systems.

Individual collectors with items for sale or trade.
Paul Slocum - His 2600 and music projects are amazing. Paul's band Tree Wave is unlike anything you have heard. 
ResQsoft- Classic game projects and info.
4Jay's Classic Games - game carts and systems for sale
Atari Gaming Headquarters - Great website
Chuck's Atari cart list. - List of Atari games in my personal collection.
Chuck's trade and for sale list - Extra games and products for sale

Informational pages
My own Atari FAQ
AtariGuide - A great informative site with a price guide, label guide, games for sale and more. 
Atari Age - Best Atari site on the web.
The Console FAQ section of Gamefaqs - The official Atari FAQ.
videogames.org - Mercury Hess now runs videogames.org.
Atari Planet - News, info, sales, emulators
Atari.org - The definitive Atari resource
Mountain King Easter Eggs - A page devoted to the CBS game Mountain King.
The Classic Videogame Nexus - No longer updated, still has some good links.
Movieprop.com - Their Atari section has some interesting Atari history and business data.
Glenn's Guides - Glenn's has step by step guides on running older DOS games under windows.

Atari 2600 Programming Information
Schells Electronics - Home of the Cuttle Cart, a great development tool as well as a modern Supercharger replacement
Dan Boris's Atari 2600 Tech Info Homepage
Nick Bensema's Atari 2600 Programming Page

Non-Atari Classic Gaming Pages
World Book Tutorvision - I was lucky enough to find one of the very rare Tutorvision consoles

Modern Gaming Pages
Gamerdad - Game reviews from a parental perspective

Interactive fiction
Malinche Entertainment - New professionally written interactive fiction games. A must see for Infocom fans.