Here are some links to places I deem worth of visiting:
Classic Game Related:
The Atari 2600 Nexus - Lots of great 2600-related stuff.
Sean Kelly's Homepage - Has games for sale/trade, multi's, other fun things.
Digital Press Online - The source for videogame info, including the DPG!
Bob Colbert's Page - Lots of 2600 programming info.
Nick Bensema's Page More 2600 programming info.
Atari Gaming Headquarters Alot of good Atari-related information.
NESDEV - This is where most of the NES tech info is kept.