I come across a lot of websites, games, programs, and other things used for studying Korean. Some of them are honestly crappy or boring.
Some, however, I just can't live without.
If you have something you think is awesome that you don't see here let me know. I'm always looking for good resources.
These are my must haves...

Online Dictionaries
Naver - my favorite dictionary
Daum - my other favorite
zKorean
Yahoo

Other Websites
Word Showers - Vocab lists with audio files (you need to add ".mp3" to the end of the file names manually)
Naver Online Manhwa - fun way to practice reading and learn new words (because I'm too lazy to download it sometimes... and I'm a sucker for full color lol)
Study Korean . net - Lessons, videos, songs, penpals... the works.
Korean Class 101 - Great Pod & Video casts. Lots of free content too.


Games
Touch Dictionary for NDS - this goes with me everywhere... always lol

• Download Vol 1 | Mirror | Download Vol 2 | Mirror (If you don't know what to do with a .nds file... It means you don't have the hardware to use it. Don't bother me about that. Research R4s yourself.)

Software
Haansoft's Hangul 2007 - The leading Korean word processor. I LOVE this thing. Comes with an integrated dictionary too.

• Download

Fonts
gubung2 's font collection - (to the post)
Zellibbi Fonts