I can't think of great online resources off the top of my head, but a nice (and easily downloadable) book chapter that narrates how to visually explore a large, multidimensional data set in a thoughtful way is Brendan O'Connor and Lukas Biewald's chapter (warning: link is directly to a PDF) from Beautiful Data. The chapter is particularly useful as a teaching resource because it incorporates R code into the narrative.
Also, upon further reflection, I think John Tukey's classic "Some Graphic and Semigraphic Displays" (conveniently posted on Edward Tufte's website) is a really wonderful, albeit somewhat idiosyncratic, introduction to visualization.
For some reason, I seem to be thinking of book chapters...