UCLA Graduate Division online financial support handbook:

http://www.gdnet.ucla.edu/asis/stusup/stusup.htm

NSF Graduate Research Fellowship (people usually apply for this before entering graduate school, but first years are also eligible):

http://www.ehr.nsf.gov/EHR/DGE/grf.htm

Department of Defense Fellowship:

http://www.asee.org/ndseg

Sloan Dissertation Fellowship (A student can't apply for a Sloan fellowship but must be nominated by the department):

http://www.sloan.org/programs/scitech_fellowships.htm

For women: American Association of University Women fellowship

For US citizens:

http://www.aauw.org/3000/fdnfelgra/american.html

For international students:

http://www.aauw.org/3000/fdnfelgra/internat.html

For minorities: Ford Foundation Fellowship:

http://www4.nas.edu/osep/fo.nsf

(This site includes links to several other fellowships)

Note: Deadlines for most external fellowships are in November.