There are a lot of lists of Transformers links out there, but most of them list only a couple dozen websites at the very most. Hundreds of Transformers websites exist, though. And there are even far too many good lists of links for anybody to really keep track of them all. The best I can do is provide you with a few of the more extensive or handy link pages, and a few of the "major" fan websites. And, of course, if you're looking for a specific kind of information, don't forget to try a search engine like Google or Teoma. My own link list is specifically tailored to help people find TF information, and is more or less a highly abbreviated list of links found in the FAQ.
Note: My inclusion or exclusion of any particular links page should not be taken to mean that I'm endorsing or condemning that page. It just means that I forgot about it, didn't know about it, or already had enough of them here and didn't feel like adding any more.
Link lists...
Major TF fansites
Yup! There are several, actually. It can be difficult to keep track of them (at least, it is for a non-MUSHer like me) because they come and go, but you have a lot of MUSH options. Unfortunately there's no longer a centralized list of TF MUSHes, but you should be able to find many of them just using Google. There are also some general-purpose MUD and MUSH listing sites that can help you track them down, such as Mud Connect.
What's a MUSH, you might be wondering? A MUSH is an online game which many people can play at once. Unlike more recent online games such as Everquest or Diablo, MUSHes (and MUDs) are entirely text-based. The letters stand for "Multi-User Shared Hallucination". MUD games are usually about fighting monsters and increasing your character's experience level, but MUSHes are more focused on role-playing and character interactions. Playing a TF MUSH is a bit like living in an episode of a Transformers cartoon.
Many of the best sources of Transformers information are big lists, catalogs, or archives of things. Fans have compiled lists of almost anything you could think of, some practical or obvious, others obscure. Here are a whole bunch of them! Unless otherwise noted, anything calling itself "Transformers" instead of naming a specific TF line covers all TF lines.
There is a fanfic newsgroup, and there are also two very extensive TF fanfic websites. Among these, you should be able to find nearly every fic which has been publicly posted, as well as expose your own writing to the entire Transfan community for feedback. The newsgroup is alt.toys.transformers.fanfic (although you can post your fics to ATT as well, if you want). The websites are Charlotte Brogden's "TF Lexicon" and Vulcana's "Tranfic Base". There's lots of other fanfic which people write and place on their own sites, but don't submit to the group or one of the megasites. I can't help you find that stuff; just use a search engine or browse around for it.
A good start would be to read "A Guide to Using ATTM and RTTM" by Burt "Skyflight" Ward. Although this guide was originally written for the marketplace newsgroups, it contains information on toy grading that will be helpful to you in any sales setting.
The oldest way to buy and sell TFs online is to do it on Usenet. There are two newsgroups devoted to Transformers sales: alt.toys.transformers.marketplace and rec.toys.transformers.marketplace. The old-fashioned way of buying or selling toys in the marketplace groups is to make "for sale" or "want to buy" posts, which basically list the items of interest and their prices. Increasingly, though, the marketplace groups are becoming little more than billboards where people leave ads for their online auctions (mostly at eBay).
The are also many websites which serve as hobby / collectibles stores where you can buy whatever Transformers are in stock, both old and new. These stores come in all sizes, from pages run by a single fan where they offer up their finds from flea markets and garage sales to major team operations with "shopping cart" and credit card capabilities. Many of the larger online stores even import Japanese-exclusive toys and offer pre- orders for upcoming items. I'm not inclined to try listing stores in the FAQ because there are far too many for me to give a comprehensive list, and I don't want to seem like I'm endorsing or favoring certain stores just because they're ones I happen the know the names of. So, I'll just say that there are lots of them out there. You can find the big ones easily through the usual channels: link indices and search engines. The big stores aren't necessarily the best ones, of course -- some are, some aren't. So to find some of the smaller stores you'll need to surf around or maybe ask other fans what their favorites are.
The other big (and obvious) option is online auctions. eBay dominates the field, but you'll find Transformers at pretty much any supersite which has an auctions section such as Yahoo! or Amazon. There are some cautions regarding auction sites, of course... For one thing, it's not unusual to find sellers hocking items that they know very little about or have labelled in a misleading fashion. Not everything which is marked as "Hard To Find! RARE!" on eBay is hard to find or rare. Not everything which is claimed to be a prototype toy is actually a prototype, either. In fact, the vast majority of "prototypes" on eBay are nothing but stolen (yes, stolen) pre-production test shots, made at the factory while they are fine-tuning the tooling for the production line. Please be an informed consumer and don't overbid on things out of ignorance or impatience. It's not worth it to pay ten times the retail cost of a just-released toy when you can pick it up off a store shelf yourself in two weeks' time.
Fonts, icons, sounds, movies, wallpapers, and games. I think that about covers it. TF video games are listed in the section on TF merchandise,