Central Limt Theorem  *****
This applet demonstrates the central limit theorem using simulated dice-rolling experiments

Normal Approximation to the Binomial Distribution  *****
Shows how the binomial distribution can be approximated by the normal distribution.You can use this applet to calculate the probability of obtaining a given number of successes or a given interval. The important theorem behind this demonstration is Central Limit Thream.
Also see Galton's quincunx,The Binomial Coin Experiment and The Dice Experiment

Confidence Interval on a Proportion  ****
Allows you to explore the validity of confidence intervals on a proportion with  various values of N and Pi.

Sampling Distribution Simulation  ****
lets you explore various aspects of sampling distributions.The distribution of some import statistics are also showed.
Also see Sample Mean Experiment