Note: All the links posted here were recommended by at least one person.
The Home of Model Languages
This is simply an excellent site. Try out their LangMaker software, it's worth it.
The Language Construction Kit
This "suite of webpages" gives a detailed insight on how to create a language.
This is one of the best sites done on Tolkien's languages. A must-see.
The Northern Griffin Language
This site give a detailed insight on a very interesting language. See it for yourself!