One's first stops when studying cosmology on line should be at Ned Wright's cosmology tutorial, and his relativity tutorial.
And, next, one would do well to go to Wayne Hu's site, to learn about tiny anisotropies in the cosmic microwave background, and what the CMB's angular power spectrum has to say about the Universe's large-scale structure.
Einstein Online includes some nice basic (and sometimes animated) descriptions of the operation of relativity.
And the ever-popular Stephen Hawking kindly posts his public lectures on his web site; these are always worth a visit.
An extremely nice Web site on relativity and relativistic astronomical objects like black holes has been produced by the University of Illinois (Urbana-Champaign) numerical relativity group at the National Center for Supercomputing Applications. It is very rich in concise explanations of Einstein's work, readable physical descriptions of celestial objects that harbor black holes and neutron stars, a good selection of particularly illustrative astronomical images, and some cool movies based upon supercomputer simulations of the formation and life of black-hole-containing objects.
Kenny Felder has posted a nice, readable, quick special-relativity introduction on the NCSA site. And Matt Visser has a useful webpage full of links to Web-based relativity resources.
Robert Nemiroff, of Michigan Technological University (and Astronomy Picture of the Day fame), has created a site full of good images and simulations of virtual trips to black holes and neutron stars. Ditto Andrew Hamilton at the University of Colorado, where you can even take a virtual dive through the event horizon, and explore the insides of wormholes.
There are now lots of galleries of observational results on all the different kinds of celestial objects that harbor black holes. NRAO has a Black Holes In Our Galaxy gallery, full of X-ray binary systems and "microquasars" such as SS 433 and Cygnus X-1. (This goes well with Terry Herter's binary-star orbital simulation, available here.) Not to be missed is the Milky Way Galactic Center site by Reinhard Genzel's group at the Max-Planck Institute for Extraterrestrial Physics in Garching, Bavaria, where one can find movies of the stellar proper motions in the Galactic center, among many other cool results. In the extragalactic domain a good place to start is Bill Keel's Active Galaxies site, which has lots images and links to other galleries like John Biretta's M87 page, and several other pages on radio galaxies and quasars also listed above.