First of all you should do a search in the forum under "puppet building" as this question has been asked dozens (not millions) of time before. Another great place to look for links is
The Puppetry Homepage. The puppet building section there is fairly comprehensive.
Some other misc. places with great info on different types of puppet building are:
Puppet Eye Tutorial - A great tutorial on how to make Muppet-style eyes from Armslength Productions.
The Bot Cave - Joe Crow offers some great tutorials on how to build the robots from MST3K. Really neat because it explains a totally different approach to puppet building.
Figure Making Can Be Fun! - Contains a few Ventriloquist Dummy construction tutorials, including some sections from Micheal Brose's excellent book
Figure Making Can Be Fun. Although vent figures (or dummies) are not most people here think of when we are discussing puppets, most of the techniques used in vent figure construction can be applied to other types of puppets, especially the mechanical aspects.
Sculpting, Casting & Molding - An overview of how to make a puppet using a mold from Snap Dragon Puppets.
The Tumbles P. Bear Project - This is an ongoing tutorial I have been writing that explains how I am building a bear puppet using what I have dubbed "the wedge method".
Many of the other MCers here have their own "how to" sites as well. I don't seem to have any of them bookmarked, but hopefully they'll post links.
I hope this helped!