Worldcon - World Science Fiction and Fantasy Convention. The first fandom convention (over 60 years running and still going strong) and where all the big names go.
Costume-con - A convention just for costumers! There's multiple masquerades, panels on all sorts of different techniques, and pretties for you to ogle in the dealer's room. A costumer's paradise! Check out the past Masquerade winners in the "Timeline" section!
Where to Buy Supplies
Dani's Cosplaysupplies.com - wigs, footwear, Wonderflex, and pretty much everything else you could ever need.
Cool Neon - Electroluminescent fibers
The Monster Makers - Mask making and prosthetic supplies
The Ring Lord - Chain Mail
Tandy's Leather - Leather & Leatherworking supplies
Kryolan - the best theatrical makeup I've found
Folkwear Patterns - hard-to-find patterns such as kimono, hanboks, and other cultural-specific costumes
Farthingales - supplies and info for making corsets, bustles and hoopskirts
TAP Plastics - for making armor and such
Wildcat Wigs - low-price, high qualityEbay wig seller
Metaldesignz - chainmail supply
Dharma Trading - silks, dyes, batik, fabric paint and everything inbetween.
Feather Place - great to buy feathers in bulk or larger packs, for wingmaking, etc.
ElectriqueBoutique - cheap and unusual shoes
Discount Dance Supply - Great for bodysuits and leotards, etc. Some of the leotards are even dyeable.
Create For Less - discount craft supplies. You usually have a buy in 'bulk,' usually about three packages. But you'll spend less on 3 here than on one in the store.
PMCSupply - all about Precious Metal Clay
Armor - Blade Turner Armory
Fursuit/mascot making - Fursuit.org
Cosplay Closet Tips & Tricks FAQ - info on everything from the right glues to finding sheet metal.
General Useful Sites
Alleycatscratch's Home Pad - lots of costuming info, including tons of detailed info & reference images for Lord of the Rings costuming
The Costumer's Manifesto - a great resource page for links, books, reference images (especially for historical and ethnic costumes) and lots more
Reconstructing History - great resources for historical costumes, including traditional Japanese clothing
The Costume Page - lots of info on historical, ethnic, theatre costuming etc.
Embroidery Stitch Guide (with videos)
Anime Model Sheet directory (for costume reference)
Vintage Sewing - Lots of information with little diagrams. Millinery, glovemaking tips.
The Renaissance Tailor - great historical costuming site
The Costume Gallery - another awesome historical costuming site
Sengoku Daimyo - info on historical Japanese costuming
The Geta Page - all about geta (Japanese wooden shoes)