Papers and Books of interest:
Rabiner, L. R., A Tutorial on Hidden Markov Models and Selected
Applications in Speech Recognition, Proceedings of the IEEE,
vol. 77, no. 2, Feb. 1989, pgs 257  285. There is a lot of notation but
verbose explanations accompany.
Dodge, Charles and Jerse, Thomas A. Computer Music: Synthesis,
Composition, and Performance, 2nd ed., Shirmer Books: New York,
1997. pgs 361368 are of particular interest  composing music with
markov chains.
Grimmett, G.R. and Stirzaker, D.R. Probability and Random
Processes, 2nd ed., Clarendon Press: Oxford, 1994. Chapter 6 is on
Markov chains, intended for advanced undergrads.
Isaac, Richard. The Pleasures of Probability, Springer: New
York, 1995. Chapter 16 is on Markov Chains, intended for undergrads.
Paulos, John Allen. A Mathematician Reads the Newspaper,
BasicBooks: New York, 1995. pgs. 7273, 135137 have explanations of how
conditional probability arises in the real world.
Stewart, Ian. The Magical Maze, Weidenfeld & Nicolson:London,
1997. Intended for general audience, pgs 8798 have some interesting
thoughts on conditional probability.
Bookmarks for Markov Chains (Hidden and Normal)
Markov Models
Software
 Some software packages (mainly for specific applications) involving Hidden Markov Models
 Hidden Markov Model (HMM) White Paper
 A pitch for GeneMatcher, a software package that uses HMM structure to recognize genes
 HMMpro: a hidden Markov model (HMM) simulator
 Software intended to build statistical models of proteins and gene sequences.
 Myers' Hidden Markov Model software
 Software intended to be used for
Explanations and Exercises

 Hidden Markov Models
 A sketchy adaptation of other explanations of HMMs.
 Hidden Markov Models
 A very good explanation of HMMs, with explanation of their use in speech recognition
 Markov Model Exercise
 An exercise of a markov model of the progress of diabetes, with a simulation based on this structure.
 Lecture 7: hidden Markov models
 A bunch of slides from a lecture on HMMs, some good pictures, but difficult to decipher without the original lecture.
 Markov Chains
 Lecture notes on Markov Chains, some of which are difficult to read. Look at the examples.
Applications

 Hidden Markov Models for Interactive Learning of Hand Gestures
 Audiovisual Sensory Integration Using Hidden Markov Models
 Using Markov Models and Hidden Markov Models to Find Repetitive Extragenic Palindromic Sequences in Escherichia coli
 Finding Genes in Human DNA with a Hidden Markov Model
 Hidden Markov Model: Concept
 Starner's work with American Sign Language and Hidden Markov Models
 schro97: Pattern Recognition of International Crises using Hidden Markov Models
 Hidden Markov model sequence analysis
 Are the Hidden Markov Models Promising in Protein Research ?
Papers

 William M. Spears: Publications about Markov Chains
 Statistics of Hidden Markov Models