www.wavelet.org, a wavelet portal including important links, newsletter and a forum (e.g. this package is listed)
Amara's Wavelet Page, an introduction to Wavelet analysis and links
A Practical Guide to Wavelet Analysis by Torrence and Compo
A matlab package for cross Wavelet analysis by A. Grinsted et
NB! Please learn from my thesis, chapter 3.6.4, why the widely used significance test for the cross wavelet spectrum systematically produces artefacts.