These are two excellent interactive sites for exploring correlation.

Exploring Correlation
A flash program. The student can move sliders to change the number of points and the correlation coefficient. Points on the scatterplot can be dragged to see how that affects the correlation coefficient. Three thumbs up!
http://www.bc.edu/research/intasc/library/correlation.shtml

Correlation Demo
A java applet. Students can change the number of points and the correlation coefficients, as well as add points. They can also plot the regression line and the residual plot. Three thumbs up!
http://stat-www.berkeley.edu/~stark/Java/Html/Correlation.htm