Dasher http://www.inference.phy.cam.ac.uk/dasher/
takes some of the Markov chain ideas to the next level.
If you are a visual thinker it is a good way to get a feel for probabilistic compression techniques, specifically PPM and arithmetic coding.
The general field is called "algorithm animation" but it seems be out of fashion. The old SRC Modula-3 distribution used to contain a cool package for creating animations of algorithms. Here is a video made by the authors: http://www.youtube.com/watch?v=zIgu9q0vVc0
Also good is the Viterbi Workshop (EDIT: unfortunately the URL below leads to a broken version of the applet.) http://www.alantro.com/viterbi/workshop.htm It used to have animated Java illustrations of the Viterbi algorithm, mentioned in other comments on this post. There are other working applets out there, e.g. http://www.wirelesscommunication.nl/reference/chaptr05/recei...
The general field is called "algorithm animation" but it seems be out of fashion. The old SRC Modula-3 distribution used to contain a cool package for creating animations of algorithms. Here is a video made by the authors: http://www.youtube.com/watch?v=zIgu9q0vVc0