For detailed, beautiful and well presented information on nearly all aspects of map projections at world scales I cannot praise Carlos Furuti's Map ProjectionCarlos Furuti's Map Projection pages enough.
The great amount of information there can be daunting and scares people off sometimes, so here are two noteworthy starting pages to get you hooked: Assessing and Measuring Distortion using Tissot IndicatixAssessing and Measuring Distortion using Tissot Indicatix. All the circles in the following image comprise the same area and distance on the ground. (Matt Perry has a short gdal/ogr script for generating tissot shapes herehere). Secondly see the Summary of projectionsSummary of projections table with thumbnails.

Edited May 2021 to update urls. Sadly Carlos Furuti's reference pages are now only available via web.archive.org (but how wonderful we have that!)
