Astronomical Software Club

http://civs.stat.ucla.edu/MCMC/MCMC_tutorial.htm

http://www.soe.ucsc.edu/classes/cmps290c/Winter06/paps/mcmc.pdf

http://public.lanl.gov/kmh/talks/maxent00b.pdf

http://en.wikipedia.org/wiki/Markov_chain_Monte_Carlo

google keywords： MCMC tutorial

MCMC preprint service:

http://www.statslab.cam.ac.uk/~mcmc/

David MacKay's book
(electronic version availiable):

http://www.inference.phy.cam.ac.uk/mackay/itila/

Radford M. Neal's review: Probabilistic Inference using Markov Chain Monte Carlo Methods

http://www.cs.toronto.edu/~radford/review.abstract.html