Things to see and do:

Markov Chain Monte Carlo Java Applets. Try out various interactive Metropolis Hastings algorithms, such as the Independence Sampler, Random Walk methods, Langevin algorithms etc. You can draw your own target densities, too.

Bayesian Anti spam software. Learn text patterns automatically and prioritize your email into as many categories as you wish.

PageRank particle simulator. Learn how Google's famous algorithm works and rank web pages with random numbers.

Papers on coupling and conditioning Markov processes. Not for those with weak hearts.

XML command line tools. A work in progress.

Unix tips for the bash shell and other things.