A few links with background information on William Faulkner and As I Lay Dying:
William Faulkner on the Web (hosted by the University of Mississippi)—plenty of pages on his life and works as well as information on Oxford and Rowan Oak.
Extensive details on his life at the Mississippi Writers Page (again from Ole Miss)
Center for Faulkner Studies at Southeast Missouri State University
Includes articles from their Teaching Faulkner newsletter: link one, and link two
The Faulkner Experience, created by Brad Jones
A wide-ranging interview from The Paris Review
As I Lay Dying
I created the table at the bottom of this post to help me to refer back to previous sections of the book. I would encourage anyone else doing something similar with your copy (my page numbers refer to The Library of America edition).
There are many online study guides that are easy to find: here are a few.
William Faulkner reading chapters from various works (including As I Lay Dying) as well as his Nobel Prize acceptance speech.
As I Lay Dying’s Wikipedia page
An essay on “Words and Images in Faulkner’s As I Lay Dying
“Faulkner's As I Lay Dying, as I have discussed, is primarily a visual text. The novel is full of cubist and surrealist visual images and scenes. His characters rely heavily on vivid visual or pictorial images to express their complex inner logic and perceptions of reality.”
This one’s a little different: Carmel Catholic High School in Mundelein, Illinois has a wiki on As I Lay Dying, with topics and discussions for their Advanced Literature class
Evidently I missed Oprah’s Book Club’s “Summer of Faulkner” (although I did spend part of the summer of 1982 in Oxford, Mississippi, reading Faulkner as much as possible). The book club site looks like it has some interesting links for Faulkner and the book, including an introduction on how to read Faulkner by Robert Hamblin (Professor of English and Director of the Center for Faulkner Studies at Southeast Missouri State University… see the Center's link above).
For additional guidance on reading Faulkner, here is an excerpt from The Paris Review interview linked above:
Some people say they can’t understand your writing, even after
they read it two or three times. What approach would you suggest
Read it four times.
Update (December 30, 2010): Open Culture has links to Faulkner reading from As I Lay Dying as well as a link to the text at Google Books.