One of the text books for the course is Statistics and Data Analysis for Financial Engineering by David Ruppert, who is a professor at Cornell. He maintains a web site that includes data sets for the book. This can be found here: http://legacy.orie.cornell.edu/~davidr/SDAFE/index.html
Yale's Statistics 101 Course This looks like a pretty good introduction to statistics.
Algorithmic Trading Group Forum. I found this bulletin board while searching for hints on R plots for two data sets, in different colors.