Here you can find a free, java based online version of Settlers of Catan. You can play against friends, strangers, or even computers. You will need the Java plugin for your browser installed to play (there are instructions on the site for how to do this).
Here you can download the trial of a computer version of Settlers of Catan, which you can play for free for a while. It's not multiplayer, however, so you will be playing against the computer. The game has a good user interface and it's nice if you want to play without the hassle of getting three friends to come over. You can buy the full game for $30.
This is a great fansite dedicated to the Settlers of Catan boardgame. There is an article on strategy for the original game, reviews of the expansions, a forum, and information on how to find people to play Settlers of Catan with.
This is the boardgamegeek entry on Setters of Catan. There are some other reviews of the game here and alternate rules. Boardgamegeek.com is a great reference for any boardgame out there, if you didn't know already.
These are the people who brought Settlers of Catan to the United States. You can poke around their website to see what other cool stuff they have to offer.
University of Catan
This site is under construction (and has been for almost two years now). However, it does have a good FAQ which explains common questions about the rules. It also has a section with some neat variants of the game.
A clone of Settlers which you can play on your computer. Uses OpenGL, includes multiplayer support. You can also use it to play Cities and Knights and Seafarers.
XBox Live Arcade
Settlers of Catan can also be played on the XBox. If you own one, it's definitely worth checking out.