I can recommend the following links to anyone who is researching their ancestor's military background. More links will be added shortly.
Commonwealth War Graves Commission
The duties of the Commonwealth War Graves Commission are "to mark and maintain the graves of the members of the forces of the Commonwealth who were killed in the two World Wars, to build memorials to those who have no known grave and to keep records and registers, including, after the Second World War, a record of the Civilian War Dead". The CWGC has now made its cemetery and memorial registers available on the Internet, and so long as you have a name, you can conduct searches from the comfort of your own home.
National Archives of Canada
The National Archives of Canada have created the CEF Database, which is "an index to those personnel files, which are held by the National Archives. To date, over 765,000 images of Attestation papers have been scanned and are being made available on-line". If you think a relative served in the Canadian Expeditionary Force, have a look at the database to see if his attestation (enlistment) form is available for viewing.
British Army Official Website and List of Museums
Although the British Army's website is primarily concerned with the modern-day Army, it is still a useful resource for the local historian. In particular, there is a list of regimental museums, which can hold unique material not available anywhere else.
Current British Army
Cap Badges and Rank badges
One of the pages on the British Army's official website is devoted to rank badges and regimental cap badges. Here you can find out the badges worn by a Colour Sergeant of the Royal Scots, or a Captain in the Parachute Regiment. Note that these are the current badges, as worn today by the British Army, and nearly all the cap badges are different to those worn in the Great War.
Military Badge Identification
For WW1 cap badges, have a look at Roger Capewell's website, which has photographs of most British Army cap badges from that period.
Regiments.org - Land Forces of Britain, the Empire
This website by T F Mills is an invaluable source of information if you want to know about individual regiments. It lists battle honours, the names of Colonels, traditions, museums, books and a whole host of other details about British and Commonwealth regiments.
The Victoria Cross Reference
For information regarding recipients of Britain's highest gallantry decoration, the Victoria Cross Reference is the first place to visit, and it has basic details about all the recipients of the VC.