Here is a collection of LEGO sites for news, set reviews, MOCs, discussion forums and shopping that I personally use and enjoy. The sites are not necessarily in order of preference.
Blogs (News and Reviews)
Jay’s Brick Blog is my personal favourite AFOL blog.
The Brick Blogger has very interesting posts on a verity of LEGO subjects. The site has a nice community feel to it, with the admin being very helpful and engaging in the comments.
Bricking Around is probably the best Australian LEGO news site, who are always fast to bring news of new LEGO deals and sales around Australia.
From Bricks to Bothans is another blog mainly focusing on Star Wars, but also incorporating many other licensed LEGO themes. They do wonderfully cynical set reviews.
The Brick Fan is another great source of LEGO news.
The Brothers Brick find and share a large number of fantastic LEGO creations from over the internet.
Hoth Bricks is a French LEGO fan site, mainly focusing on Star Wars.
Brickset, along with their database and inventory system, also run a LEGO news blog.
BrickPals.com is an excellent resource for LEGO news, rumours, set reviews, interviews, and references.
Video Channels (Reviews and Creations)
JANGBRiCKS produces a massive amount of LEGO set reviews, which are all very informative and enjoyable to watch.
Brotherhood Workshop create absolutely fantastic LEGO stopmotion videos. The amount of work that goes into each video is huge, and the result is always impressive.
just2good is another great video reviewer.
ANZFOL Forum: A forum for Australian and New Zealand Fans of LEGO.
Eurobricks: The largest worldwide LEGO forum. It is also worth subscribing to their front-page blog. You can find many good pictorial reviews here, and early discussions of not-yet-released sets.
Shopping and other tools
BrickLink: probably the largest online LEGO marketplace, where you can buy parts, sets and minifigures from over 7500 stores. The process is really personal as you are dealing almost directly with the buyer, who is most likely an enthusiastic fan of LEGO like you.
Brickset is a database of virtually all LEGO sets ever produced. You can create an account and track your collection.
The official online LEGO Shop. All sets are priced at RRP, and the shipping rate is quite high, but they will always stock the exclusive sets.
Toy World Australia: A local shop which has a large selection of Lego and often holds sets which cannot be found elsewhere
Big W sell sets cheaper than other stores, even when not on sale.