1. Dr. Peter M. Lee's website provides many supported materials for his book entitled "Bayesian Statistics: An Introduction".

http://www-users.york.ac.uk/~pml1/bayes/contents.htm

2. Dr. Darren J. Wilkinson's webpage for his class Principles of statistics: Part 2: Stochastic simulation and MCMC.

http://www.staff.ncl.ac.uk/d.j.wilkinson/teaching/mas451/