From Scott MacKenzie:

http://www.inference.phy.cam.ac.uk/mackay/itila/book.html -- free! (but i liked the book, so I bought it :)

http://www-sigproc.eng.cam.ac.uk/smc/papers.html -- sequential monte carlo methods. (bibliography)

http://www.cs.ubc.ca/~murphyk/Bayes/bnintro.html very, very good! many references, well explained too.