Some useful links

Java Formal Languages and Automata Package (JFLAP) - Useful Java tool that allows you to build automata, test out their functionality, and easily modify them.

GasTeX - A LaTeX plugin for easily drawing finite automata and graphs. See also JasTex, A small java applet for visually drawing Finite Automata. It automatically generates GasTex code.

Finite State Automaton Applet - Automatan simulator, similar to JFLAP. Requires Java.

Find a good article on application of regular expressions in unix grep and egrep commands here.