This post will eventually grow to hold a wide list of books on statistics (e-books, pdf books and so on) that are available for free download.  But for now we’ll start off with just one several books:

• The Elements of Statistical Learning written by Trevor Hastie, Robert Tibshirani and Jerome Friedman. you can legally download a copy of the book in pdf format from the authors website! Direct download (First discovered on the “one R tip a day” blog)
• Statistics (Probability and Data Analysis) – a wikibook. Download link
• Introduction to Statistical Thought by Michael Lavine.  The book is organized into seven chapters: “Probability,” “Modes of Inference,” “Regression,” “More Probability,” “Special Distributions,” “More Models,” and “Mathematical Statistics.” and makes extensive use of R.  Here is a favoring review the book received in JASA. 328 pages. Download link (approx. 40 mbyte)
• Street-Fighting Mathematics by Sanjoy Mahajan. Download link
• Statistical Analysis with the General Linear Model by Miller and Haden. an introductory textbook describing statistical analysis with analysis of variance (ANOVA, including repeated-measures and mixed designs), simple and multiple regression, and analysis of covariance. 274 pages. Download link (p.s: this book makes no reference to R.  see here for R tutorials and functions for performing repeated measures anova)
• Collaborative Statistics by Barbara Illowsky and Susan Dean.  This textbook is intended for introductory statistics courses.  627 pages.  R is not used in this book.  Download link
• Using R for Introductory Statistics by John Verzani Publisher: Chapman & Hall/CRC 2004 ISBN/ASIN: 1584884509 ISBN-13: 9781584884507 Number of pages: 114 Description: The author presents a self-contained treatment of statistical topics and the intricacies of the R software. The book treats exploratory data analysis with more attention than is typical, includes a chapter on simulation, and provides a unified approach to linear models. This text lays the foundation for further study and development in statistics using R. Download link
• R Graphics (Three chapters only) by Paul Murrell ISBN: 9781584884866 ISBN 10: 158488486X Publication Date: July 29, 2005 Number of Pages: 328 Description: Chapter 1: An Introduction to R Graphics Chapter 4: Trellis Graphics: The Lattice Package Chapter 5: The Grid Graphics Model Download link (see scripts and images here)
• Using R Download link
• R intro Download link
• Psychometric Theory with Applications in R by William Revelle (a work in progress) Download link
• A great long list of R related texts, for free download, can be found here.
• Using Graphs Instead of Tables website link (This web page accompanies the article “Using Graphs Instead of Tables in Political Science”, by Jonathan Kastellec and Eduardo Leoni, which appears in the December 2007 issue of Perspectives on Politics. It contains complete replication code for all the graphs that appear in the text)
• IPSUR: Introduction to Probability and Statistics Using R by G. Jay Kerns, is FREE (in the GNU sense of the word) and comes with a plugin for Rcmdr. 412 pages. Download link (first discovered through the Revolution blog)
• Multivariate Statistics with R by Paul J. Hewson. 189 pages. Download link (first discovered through open text book blog)
• R Programming – a wikibook. (no PDF version is available as of yet)
• Introduction to Statistical Thinking (With R, Without Calculus) – By Benjamin Yakir
• A History of Parametric Statistical Inference from Bernoulli to Fisher, 1713 to 1935 – By Anders Hald
• Principles of Uncertainty (direct link to pdf), by Jay Kadane (got a great review by xian)

Several of these books were discovered through a CrossValidated discussion.

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Know of any more e-books freely available for download? Please write to me about them in the comments.