Musictheory.net
http://www.musictheory.net/
This site provides outstanding interactive introductions to essential concepts in notation, melody and harmony. Online ear training for intervals, scales and chords is also provided.

The Tonal Center
http://ds.dial.pipex.com/andymilne/
The Tonal Center introduces the elements of harmony through the principle of tonality. This is somewhat more advanced in content than the other sites; information on basic chord construction, extensions, and a number of progressions and forms is provided.

Intervals
http://plato.acadiau.ca/courses/musi/callon/1033/inter1.gif

Major chords
http://www.mmissary.com/theory/theory48.jpg

Arpeggios
http://www.free-online-piano-lessons.com/arpeggios.html