There is a nice chapter on Regression Problems in a work-in-progress guide aptly titled "Statistics with R", by Vincent Zoonekynd. It is really a collection of notes that the author wrote for himself, much like this blog! I find it very handy - despite the author's disclaimers, I think he has collected a great set of examples and generously made them available. His linked table of contents is inviting and useful. For the Regression Problems chapter, it includes:
Some plots to explore a regression
Overfit
Underfit
Influential points
Influential clusters
Non gaussian residuals
Heteroskedasticity
Correlated errors
Unidentifiability
Missing values
Extrapolation
Miscellaneous
The curse of dimension
Wide problems
His blog is not focused on statistics or on R, but I found reviews and examples of interesting graphics using R, for example, this one.
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