This site from the University of California at Santa Barbara is a great online resource for Thoreau students. Its best feature is "Ask a Thoreau Edition," a super-useful research tool that allows you to ask questions of the Thoreau Institute (it's currently down for renovation) and a searchable quotations database.
The Thoreau Reader is a must-read site for all students of Thoreau. It is an annotated online library of all of Thoreau's works, plus some of the most interesting essays ever written about Thoreau. It is a project of the Thoreau Society.
Founded in 1941, the Thoreau Society is an organization devoted to the study and philosophies of Thoreau. They take field trips to places associated with the author, put on education programs and maintain great online resources about Thoreau and his works.
This great site from Virginia Commonwealth University offers an overview of the Transcendentalist movement in America. It is a really helpful resource if you're trying to understand the broader context of how Transcendentalism came to be, and what it gave to America. A hyperlinked breakout page focuses on Thoreau.
The cabin where Thoreau once lived is long gone, but the beautiful woods he lived in still remain. The woods around Walden Pond are actually more lush today than they were when Emerson hired Thoreau to plant trees in the area, thanks largely to the attention Henry D. brought to the area. The Walden Woods Project is an organization that works to sustain the woods and Thoreau's memory.
This is the website for an NPR program dedicated to Thoreau. In addition to great reporting from NPR, it contains links to multimedia resources related to the author, like video of an actor portraying Thoreau and an audio clip of "Tom Bowling," Thoreau's favorite song.