General Supernatural Resource Sites
My starting point for all episode/character/creature related research. A great resource.
The Winchester Journals
Characters, episodes, equipment, lore etc.
Demons, Monsters, Angels and Spells etc.
A monster/demon/angel wikipedia. A large and reliable site (as far as I've seen), full of detail.
List of Demons on Wikipedia
The mythology behind the demon and links to more details on each one.
God and Festivals
A huge list of mythological gods.
Demon's A to Z
Not a lot of detail, but can be a useful starting point.
Again, not much detail, but useful to trawl for ideas.
Recommending this with caveats - it's messy to navigate, and details aren't always accurate, but there is a lot of information there on angels, fallen angels and related creatures.
Assorted monsters, their culture of origin and a description.
Dave's Mythical Creatures
Pictures, descriptions, features and historical notes.
The Medieval Bestiary
A lovely site, full of medieval paintings and all sorts of historical references.
A great resource for getting case file ideas. Beautifully illustrated too.
Includes ghost stories, tricksters, urban legends and supernatural tales.
Spells and Magic
This covers all sorts, from grimoires to blood sacrifices and conjuring spirits.
Lucky Mojo Spell Archive
Covers selling yourself to the crossroads demon among many other things.
Miscellaneous Articles and Research
Supernatural Locations by episode (seasons 1 - 3) by simplybeing
A Supernatural Map - season 1 by muccamukk
Complete List of Supernatural Season 2 Story Location Links by jenshih_blue
Interactive Supernatural Roadmap (seasons 1 and 2) by alcorandmizar
The Winchesters' travels across the states, by map, links, and interactive google map.
The Laundry List (Dean and Sam's clothing) Season 1 by clex_monkie89
The Sam Winchester Clothing Catalogue by bellanut
The Dean Winchester Clothing Catalogue by bellanut
These three all tie in nicely together, and are all very detailed and well illustrated.
Timeline for Season 1 on Super-wiki
Supernatural Season 2 and 3 Timeline by killabeez
The Weapons Box by erinrua
Dean, Sam and John's guns, crossbows, tasers and knives etc. with details on each one. Excellent if you're as clueless about weapons as I am.
Greatest Hits of Mullet Rock
List of all the music played, episode by episode. Sort of a random link, but I thought I'd throw it in.
A Newbie Guide to Supernatural by scribewraith
And finally, a ginormous list of communities, fansites, art resources and fanfic archives. The Super Wiki is also a good place to check for links.
A huge thank you to dotfic for many of the bestiary/monster links.
ETA: Many more useful links in the comments.