Mutecity.org: an independently ran F-Zero Wiki.
F-Zero Facts Wiki: probably the most accurate F-Zero page out there.
The F-Zero Master Document, created by the same person who runs the F-Zero Facts Wiki. Has links to resources for the canon mainline universe, as well as the anime and novelverse.
Captain Falcon's F-Zero GX themesong: God, it's so corny. I love it.
F-Zero SNES manual: Has some cool images and tidbits about the world of F-Zero. Plus, it has The Story Of Captain Falcon, a super neat comic that showcases a day in the life of his escapades. See his robot assistant once and never again!
Captain Falcon F-Zero GX interviews: What a guy.