We provided many resources of parallel programming tutorials. The following are the ones we have linked so far.
Basic parallel computing tutorial
MapReduce tutorial
Cell processor programming
OpenMP tutorial
PThreads Tutorials
Intel Threading Building Blocks
MPI

In Part 8, we look at Compute Unified Device Architecture (CUDA) from NVIDIA to program inexpensive multi-threaded GPUs. CUDA includes the CUDA Instruction Set Architecture (ISA) and the parallel compute engine in the GPU. To program to the CUDA architecture, developers can, today, use C, one of the most widely used high-level programming languages, which can then be run at great performance on a CUDA enabled processor. Other languages will be supported in the future, including FORTRAN and C++.

The best resource for CUDA related tutorials and introduction is Nvidia’s CUDA Zone itself.

Dr. Dobb’s CUDA, Supercomputing for the Masses series of articles by Rob Farber is a good source for introducing yourself to CUDA.

• CUDA, Supercomputing for the Masses: Part 13
• CUDA, Supercomputing for the Masses: Part 12
• CUDA, Supercomputing for the Masses: Part 11
• CUDA, Supercomputing for the Masses: Part 10
• CUDA, Supercomputing for the Masses: Part 9
• CUDA, Supercomputing for the Masses: Part 8
• CUDA, Supercomputing for the Masses: Part 7
• CUDA, Supercomputing for the Masses: Part 6
• CUDA, Supercomputing for the Masses: Part 5
• CUDA, Supercomputing for the Masses: Part 4
• CUDA, Supercomputing for the Masses: Part 3
• CUDA, Supercomputing for the Masses: Part 2
• CUDA, Supercomputing for the Masses: Part 1

Nvidia’s CUDA University have links to Training Courses, Slides from University of Illinois’ ECE 498AL course taught by Professor Wen-mei W. Hwu and David Kirk, NVIDIA Chief Scientist.
Nvidia CUDA U

NVidia presented a great tutorial on CUDA programming at the HPCMP User’s Group conference in June 2009, that has 192 slides. You can view those slides here.

CUDA Tutorial presented at ISC 2009:

• Introduction to GPU Computing (PDF)
• Basic CUDA (PDF)
• CUDA Toolkit & Libraries (PDF)
• CUDA Optimization (PDF)
• Introduction to OpenCL (PDF)
• Case Study: Computational Fluid Dynamics (PDF)

Source: GPGPU.org

Another interesting and simple tutorial: CUDA Tutorial at Parallel Panorama
CUDA Programming and Development Forum at NVIDIA CUDA Zone
The PGI Accelerator Programming Model on NVIDIA GPUs by Michael Wolfe, PGI Compiler Engineer