I have been meaning to write this for a while, but came across a great collection of resources and guides at The Net Takeway and some useful links at R - Loyalty Matrix

I strongly recommend simpleR Using R for Introductory Statistics

There is a wiki for collaborative documentations, seems to be down at the moment.

And of course the “task views” .. an overview of which R packages might be relevant to you in a particular field.

There is not a “task view” for time-series, but this paper by Ricci is quite a good starting point.

The “Ion TikiWiki” has a lot of great R code and articles (in the forecasting and stock market area) - see for example this article on testing for random walks. Here is the index to the articles .. really worth browsing.

I have prepared some notes on time series packages and R which I will publish here some day. Also some on cluster analysis.

A short post, I hope to do more on the subject. R is a great system, anarchic to a degree and it is not always easy to find your way around it.