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](http://assets.doloreslabs.com/blog/oconnor_biewald_beautiful_data_final_nonlayout_20090803_20090327.pdf) (warning: link is directly to a PDF) from [_Beautiful Data_](http://shop.oreilly.com/product/9780596157128.do). The chapter is particularly useful as a teaching resource because it incorporates R code into the narrative.