In no particular order of favorites. They're all great :-)
Sean Lahman - Creator of the Lahman database for baseball stats and archives and we plan to use data for future studies.
Retrosheet - Baseball data archives (from which one of our studies used)
Tom Thress interactive site - Really cool interactive site allowing you to query data about players and teams, etc..
Baseball Reference - The encyclopedia :-)
Sabr Metrics Page - Misc info on where to get data
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