If you don't have Java, get the Java plugin.
If you are using MSIE (without the Java plugin) and you run into a problem where an applet stops responding, try resizing the window.
Fourier Series Applet
Frequency analysis of periodic functions. 

Ripple Tank (2D Waves) Applet
Demonstrates wave motion, interference, diffraction, refraction, Doppler effect, etc. 

2D Waves Applet
Demonstrates wave motion in 2D. 

3D Waves Applet
Demonstrates wave motion in 3D. 

Coupled Oscillations Applet
Demonstrates longitudinal wave motion in oscillators connected by springs. 
Loaded String Applet
Simulates wave motion of a string. 

Rectangular Membrane Waves Applet
Vibrational modes in a 2d membrane. 

Circular Membrane Waves Applet
Vibrational modes in a 2d circular membrane (drum head). 

Bar Waves Applet
Bending waves in a bar. 

Box Modes Applet
Acoustic standing waves in a 3d box. 

Acoustic Interference Applet
Generates audio interference between your speakers. 
2D Electrostatics Applet
Demonstrates static electric fields and steadystate current distributions. 

2D Electrostatic Fields Applet
Demonstrates electric fields in various 2D situations; also shows Gauss's law. 

3D Electrostatic Fields Applet
Demonstrates electric fields in various 3D situations. 

3D Magnetostatic Fields Applet
Demonstrates magnetic fields in various situations. 
2D Electrodynamics Applet (TE)
Demonstrates electromagnetic radiation. 

2D Electrodynamics Applet (TM)
Demonstrates electromagnetic radiation, induction, and magnetostatics. 

Analog Circuit Simulator Applet Demonstrates various electronic circuits. 

Cavity Modes Applet
Electromagnetic waves in a 3d rectangular cavity. 

Waveguide Modes Applet
Electromagnetic waves in a waveguide. 

Antenna Applet
Generates antenna radiation patterns. 

Fresnel Diffraction Applet
Generates Fresnel diffraction patterns. 
Hydrogen Atom Applet
Shows the orbitals (wave functions) of the hydrogen atom. 

Molecular Orbitals Applet
Shows the orbitals (wave functions) of the hydrogen molecular ion. 

1D Quantum Mechanics Applet
Singleparticle quantum mechanics states in one dimension. 

1D Quantum Transitions Applet
Radiative transitions (absorption and stimulated emission) in one dimension. 

Atomic Dipole Transitions Applet
Radiative transitions (absorption and stimulated emission) in atoms. 

2D Rectangular Square Well Applet
Rectangular square well (particle in a box) in two dimensions. 

2D Circular Square Well Applet
Circular square well in two dimensions. 

2D Quantum Harmonic Oscillator Applet
Harmonic oscillator in two dimensions. 

3D Quantum Harmonic Oscillator Applet
Harmonic oscillator in three dimensions. 

Quantum Rigid Rotator Applet
Particle confined to a sphere. 
Dot Product Applet
Demonstrates the dot product or scalar product of two vectors. 

Matrix Applet
Demonstrates 2d transformations using a matrix. 
2D Vector Fields Applet
Demonstrates various properties of vector fields, including divergence and curl, etc. 

3D Vector Fields Applet
Demonstrates vector fields in 3 dimensions. Includes the Lorenz Attractor and Rossler Attractor. 
Gas Molecules Simulation Applet
Demonstrates the kinetic theory of gases. 

Thermal Camera Pictures
Some sample pictures taken with a thermal (infrared) camera. (This is not an applet but I thought I'd throw it in here anyway.) 
A Sense of Scale
Provides a visual comparison of various distances, from very small objects like protons and electrons, to distances between galaxies. (Not an applet, but I thought I'd include it here anyway.) 

Ordinary Differential Equations Applet
Visual differential equation solver. 

Euler's Equation Applet
Demonstrates Taylor series expansion of complex exponentials. 
Links to other sites with math/physicsrelated info or java applets:
And when you get tired of learning, here is some fun stuff:
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