A Programmers Heaven
Stuff for every language from C++ to XML to Palm; a whole pile of general resources for graphics, sound, windows programming, etc; tutorials, downloads, and some other things.
CDX Homepage
The homepage of a DirectX wrapper called CDX. It seems to be pretty well known.
FlipCode
I haven't looked at this site too much, but it looks like it could be useful :)
Gamasutra
This site doesn't look like it's got too much in the way of straight up programming,but it's more the conccepts of game design. It seems hard to navigate, but it lookslike it has some interesting articles. I remember using one of the articles to create a design document for a Half-Life mod
GameDev.net
I cannot overstress how useful this site is. It has articles in every field: graphics, sound, game design, DirectX, OpenGl, Win32, AI, and everything else imaginable, for beginners and advanced game developers. It is updated daily with interesting tutorials and articles. Check this site out NOW!
Half Price Computer Books
I think the name says it all. You order online from their "library" of 5000 titles. Obviously not a programming site, but once you've gone to GameDev.net and decided what book to get, go here and order it. (Don't you love the way I advertise?)
Winprog
Small site dedicated to windows programming; not a lot to see here, but I used the tutorial to learn the basics; they've got an IRC channel on EFNET: #winprog; When there is actually anyone active in here, you can get great fast help.
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Unrelated to programming
Diesel Sweeties
A hilarious comic. Read all of 'em.
Penny Arcade
Another hilarious comic. Not so much laugh out loud hilarious, but cheeky.