Here are sites I found useful, but IMO the most useful way to learn is in experimentation and actually doing.  But nevertheless, enjoy :)

www.sweetoblivion.com - Great site devoted to game programming.  This place is great because it's updated *very* frequently (like, daily almost).  They have industry news, game contests, a very active message board, etc.  Sometimes they even get a professional game developer and they hold a chat!  Sweet! :)
 

www.perplexed.com - Another site on game programming.  It's got everything from beginner level to advanced, and stuff on DirectX, ASM, etc.
 

Game Programming 99 - Haven't had time to take a real look see, but I heard it's good and sure looks good.
 

x2ftp.oulu.fi - I'm not sure 'bout now, but back in the dayz this was it. I got most of my tutorials and stuff from here. I haven't been there in a long time though so I don't know if it's still up to date.

The Reckless Design Team -- m'crew :)  This is the development team I set up.  Come visit us and see what we're workin' on.
 
 

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Jonathan Mak --Queasy
walter.makutoronto.ca

Good Luck!