For those that are interested in programming shaders up to shader model 3.0, there are some really nice resources available for both starters and the more advanced shader programmers.
GameDev.net recently made ShaderX2 by Wolfgang Engel available for download. Wolfgang Engel is one of the senior engine programmers at Rockstar San Diego, and he worked on the engine for GTA IV. He also keeps a series of books called ShaderX, which if im right now has 6 volumes. The ShaderX2 book is actually in two parts, first is a tutorial for beginning shader programmers, and theres a second part which is more of a cookbook style book with a whole lot of articles on all kinds of different subjects. The two parts can be found here.
Nvidia have also made some of their older books published on their developer zone, freely accessible. First is the Cg Tutorial which is nice for beginning shader programmers, and second are GPU Gems and GPU Gems 2 which are again a nice collection of articles on different subjects. They can be found here.