Tutorials and LearningMake a Game with No Experience - These are great. Tom Francis, creator of Gunpoint has made a series of videos about how to make your first game in GameMaker. They're entertaining, informative and very easy to follow.
There's a GameMaker section on the TIGSource forums. I've found the first set at the top of that link particularly helpful.
Physics in GameMaker:Studio - this is the page that finally helped me get my head around how to control the player object when using physics.
SoftwareGameMaker - The basic version is free.
Bfxr - Cool (and free!) little webapp/downloadable for creating sound effects for your games.