Covariance and Correlation
There are two interactive activities (applets) related to correlation at Statistical Java (http://www.stat.vt.edu/~sundar/java/applets/) this site no longer exists under Statistical Application that can help your students better understand what the correlation between two variables means. The graphs in the image above were created using the correlation movie applet (click to enlarge). They show hypothetical data with correlations of -0.5, 0.0, and 0.9 respectively. Statistical JAVA also provides definitions and formula for calculating covariance and correlation.
There are also several interactive scatter plots related to covariance and correlation at The University of Alabama Virtual Laboratory in Probability and Statistics.