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
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google keywords： MCMC tutorial
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MCMC preprint service:
http://www.statslab.cam.ac.uk/~mcmc/
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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