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Historical Power Prices

GDF Suez has a very nice tool with most of the major hubs and zones in the US, both DAH and RTH prices! http://www.gdfsuezenergyresources.com/index.php?id=5

Additionally I have found http://commoditymodels.com/ to be a great read. Combined together these two sites could make for some great student projects. If someone here knows a site with historical gas prices for the major delivery points then that would make for some great heat rate analysis too.
Do you have any additional resources similar to these? I'm working at an alternative energy company and we're very interested in the prices of electricity. Thanks!

Check the Lacima Group white papers at LacimaGroup.com. I think it requires a free registration to download. They are pretty practical and a get introduction to a number of techniques.

Also if you can then you should get to the Energy Risk conference in May. If you're starting out then you'll find the pre and post conference workshops to be especially helpful. Try to get your company to pay since it's a bit pricey.

Alright... One more question. I'm seeking historical prices of Renewable Energy Certificates (RECs). Any good sources? I feel like I already owe you a brew, but now I owe you two regardless!
Unfortunately I don't know of a source for REC prices online. Those are a lot more idiosyncratic than electricity prices. I'd start with the relevant ISO's website and move from there.