The most important reference to R is CRAN (Comprehensive R Archive Network), where all the software and much other information about the system can be found.
In CRAN you also find the standard manual An Introduction to R in the newest edition..
An alternative text, which can be downloaded from the web, is simpleR which is the forerunner to Verzani's book, mentioned below.
There is published a newsletter R News around three times the year. (Update: Now as The R Journal, link changed.)
Here are some books which all can be borrowed at AUB. Venables & Ripley's books deal with both R and S-Plus. A more comprehensive literature list is found here.
Peter Dalgaard
Introductory Statistics with R
Springer, 2002
Julian J. Faraway
Linear Models with R
Chapman & Hall/CRC, 2004
Julian J. Faraway
Extending the Linear Model with R
Chapman & Hall/CRC, 2006
John Maindonald & John Braun
Data Analysis and Graphics Using R
Cambridge University Press, 2003
Paul Murrell
R Graphics
Chapman & Hall/CRC, 2006
Maria L. Rizzo
Statistical Computing with R
Chapman & Hall/CRC, 2008
W.N. Venables & B.D. Ripley
Modern Applied Statistics with S, 4th ed.
Springer, 2002
W.N. Venables & B.D. Ripley
S Programming
Springer, 2000
John Verzani
Using R for Introductory Statistics
Chapman & Hall/CRC, 2004
Here is the home page for BUGS. It describes Version 1.4.3, but newer development takes place in OpenBUGS.
An alternative programme under development is JAGS (Just Another Gibbs Sampler).
Jesper is no the only person giving a course in Bayesian statistics. Here are some links to courses where BUGS is used.
R News has as Volume 6/1 a special issue about software to Bayesian statistics.
To my knowledge (in 2008) there has not been published books dedicated to BUGS, but see
Andrew B. Lawson, et al.
Disease Mapping with WinBUGS and MLwiN
Wiley, 2003
But February 2009 will be (now: has been) published
I. Ntzoufras
Bayesian Modeling Using WinBUGS
Wiley, 2009
Three books about Bayesian statistics has a bit on BUGS at the end of the book:
Jim Albert
Bayesian Computation with R
Springer, 2007
Peter M. Lee
Bayesian Statistics: An Introduction, 3rd ed.
Arnold, 2004
Andrew Gelman, et al.
Bayesian Data Analysis, 2nd ed.
Chapman & Hall/CRC, 2003
Peter Congdon has released three books where BUGS is used (they can all be borrowed in AUB, among these
Peter Congdon
Bayesian Statistical Modelling
Wiley, 2002
Translated, but not updated since 25th august 2008.