Annotated list of books on Bayesian analysis and related topics: http://public.lanl.gov/kmh/bayes.pdf
Maximum Entropy and Bayesian Methods Workshops http://public.lanl.gov/kmh/maxent95/
Bayes Dayes 2000 at LANL - A minicourse on Bayesian analysis given by Volker Dose
Bayes Dayes 1999 at LANL - A tutorial and workshop on Bayesian analysis by Giullio d'Agostini
L. Lyons, CERN lecture, Practical statistics for particle physicists - Lect. 4 (Oct. 2006) CERN Training Lectures (both slides and video) excellent set of lectures on statistical methods relevant to physicists; videos add a lot to helping to understand the slides
G. D-Agostini, CERN lecture, Telling the truth with statistics (Feb. 2005) CERN Training Lectures (both slides and video)
Links for Bayesian analysis
Markov Chain Monte Carlo