Wikipedia (as usual) has very nice material on this[1]. Here are also some[2][3] graphical representations of sorting algorithims.
EDIT 2010: found [4] this on topic, you never know when there is a new search algorithm appearing.
[1]http://en.wikipedia.org/wiki/Sorting_algorithm
[2]http://www.cs.rit.edu/~atk/Java/Sorting/sorting.html
[3]http://cg.scs.carleton.ca/~morin/misc/sortalg/
[4]http://www.drmaciver.com/2010/01/understanding-timsort-1adaptive-mergesort/
