I’m a fan of mechanical/algorithmic trading so most of my blogs are centred around that. Here are my favourites (not an exhaustive list) roughly in order of preference:
Au.Tra.Sy – http://www.automated-trading-system.com/
Possibly my favourite. Easy to read, great info on backtests, and thought provoking. I particularly like how Mr Liberty can explain fairly complex ideas (e.g. Bootstrap tests) in an easy to understand manner without delving heavily into the maths.
MarketSci – http://marketsci.wordpress.com/
Another well written and presented blog. The blog used to be structured differently and much easier to navigate, but if you can find it: the collection on developing adaptive systems is highly recommended. Unfortunately Mr Stokes has lightened up on his posting of late.
CSS Analytics – http://cssanalytics.wordpress.com/
The author Mr Varadi, has put together many different indicators, some of which i’ve found downloadable in excel files. He’s currently (early 2011) running a series of posts on indicator ideas. Great fuel to spark your own thoughts and system develoment.
STROM Macro – http://strommacro.wordpress.com/
A fairly new blog as of 2011. I’ve found his commentary on the goings on around Wall St very entertaining, and his philosophy on trading very sound.
Intelligent Trading Tech – http://intelligenttradingtech.blogspot.com/
I’ve found a great number of helpful book reviews here. There are also plenty of interesting thoughts, the last being how a random walk can actually be traded profitably!
Data download tools – http://www.gummy-stuff.org/Yahoo-data.htm
Although not really a blog, i also stumbled across this site which has downloadable excel files you can use to automatically extract price data from yahoo! (disclaimer – i haven’t actually tried out the excel files yet, but the code for a web browser definitely works)
CIJ & CIN
I think they’ve already been listed but for fundamental and economic commentary i love reading the Contrarian Investors sites – http://cij.inspiriting.com/ & http://cin.inspiriting.com/
I’ve got loads of respect for these guys and gals that continue to post their thoughts for our benefit without asking anything in return (as i do the people who post here on ASF). Hopefully someone out there finds these resources as useful as i have.
Cheers! 
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