A Place to Remember - Uplifting support material & resources for those who have by a crisis in pregnancy or the death of a baby. 
Bereavement Bears are stuffed bears made from articles of clothing or special  mementos.  With the death of a baby, your baby's blanket or first clothes worn or would have worn would be perfect for this.  (9-12-04 - The link did not work, but I am hoping they are just temporarily down - will update later.)
Bonnie Babes Foundation -  is a non-profit organization that has been caring for families who have lost babies from miscarriage, stillbirth and prematurity since it was formed in 1994.   This is based out of Australia, but a new branch is being started in the USA.  You can contact Victoria or more information. 
Broken Hearts, Living Hope - a support network for bereaved families who have lost children from pre-birth through adulthood from any cause.  Free monthly newsletter and personal memorials can be left on their website.  Very encouraging site.
Caleb Ministries - Help for Women who have experienced infertility, miscarriage, stillbirth or early infant death. (updated correct link - MUST SEE SITE!)
Grief Share -  On Your Own Daily Help & Encouragement Devotional - This is a 5 daily Bible studies per 13 weeks that will guide you to sections of the Bible that are very relevant to the feelings, emotions and questions you are dealing with right now. This is not necessarily "only" for those who have lost a baby, but very helpful and Scripture based.
Hannah's Prayer  Provides Christian support and encouragement to those struggling with the pain of "fertility challenges"  including  infertility or the death of a child any time from conception through early infancy.  MANY good links to other helpful resources.
Heartfelt Counseling Ministries - This couple share from their personal experience from the loss of their daughter and first grandchild and offer encouragement through counseling and their new book
Over the Rainbow Online Perinatal Loss Support Group  for parents who have experienced perinatal loss of any kind to communicate, share and support one another.

Pain, Heartache and Hope "Real Men and Women copying with miscarriage, infertility, stillbirth, and the loss of a child".  BEAUTIFUL website.  Robyn has also written a book, "Pain, Heartache and Hope" which I have read and is very helpful.  Robyn has also been a strong advocate in promoting "Pregnancy and Infant Loss Remembrance Day" for October 15th. 

Parent's Place is a wonderful resources for  EVERYTHING having to do with parenting, and have special sections for  miscarriages, stillbirths and anything to do with children, pregnancy and births. 
Pen Parents, Inc.  International support network for grieving parents.
SHARE - National support group for bereaved parents.  Also gives a link to a possible SHARE group in your area.