I'm assuming Steve Yegge's recent post prompted this? The comments contain a number of tools and games for measurement and improvement, both online and off. I'll list them here:
- Gnu Typist
- TyperA
- TypeRacer (Several people named this site)
- Typespeed
- typeonline.co.uk
Update: I just tried GNU Typist as per Mark Biek's suggestion, and I have to say that it seems like the best of the lot mentioned so far. It looks like there is a Windows version available, although I'm sure there are prettier (and more expensive) apps out there.