All About Monads, A comprehensive guide to the theory and practice of monadic programming in Haskell.
Jeff Newbern's All About Monads is the best monad tutorial I've seen yet!
This tutorial starts with the most basic definition of a monad, and why you might want one. It covers most of the monad instances in the standard libraries, and also includes monad transformers. It wraps up nicely with links to Parsec, category theory, and arrows. You can read it online, or download as a zip file or tarball.
If you've been looking for a good monads tutorial, try this one first!