The knowledge discovery page from Dr. Gregory Piatetsky-Shapiro is probably the best page about Data Mining and much more. You can find anything from courses, news, forums, data sets and more. I think the one-semester introductory course on Data Mining, suitable for advanced undergraduates or first-year graduate students, is great. You will not easily find another free internet course with complete course materials including assignments and data sets. The course is divided into 19 lectures (PowerPoint files) and is based on the textbook Witten and Eibe, Data Mining: Practical Machine Learning Tools and Techniques, Morgan Kaufmann, 1999 and 2nd Edition (2005). The software used is Weka which is open source. If you want to have some free video tutorials on Weka click here.