Here are two well-known sites for help with the loss of a pet.  Several sites are also available through several veterinary schools, including Cornell University and Ohio State University.  The site at UC Davis is no longer available.  

Rainbow Bridge - Anyone who has ever lost a pet should visit this wonderful site.  It is a terrific tribute to our lost family members.

Association for Pet Loss and Bereavement - We have all experienced the pain of losing a pet.  The Association of Pet Loss and Bereavement has set up this site for support during this most difficult time.  You will find inspirational stories, grief counseling resources, hotline number and many other resources.