Web
The OWASP top ten
https://owasp.org/www-project-top-ten/
Portswigger's (of Burp fame) free online web security courses
https://portswigger.net/web-security
Create simulated web logs for threat hunting
https://github.com/punk-security/pwnspoof
HTTP Security Headers and what they do
https://nullsweep.com/http-security-headers-a-complete-guide/
NCC's guide to "Common Security Issues in Financially Oriented Web Applications"
A list of useful payloads and bypasses for Web Application Security
https://github.com/swisskyrepo/PayloadsAllTheThings
MITRE CAPEC
SQL
Learn SQL with the SQL murder mystery
https://mystery.knightlab.com/
SQL query builder
SQL Injection
https://pentestmonkey.net/cheat-sheet/sql-injection/mysql-sql-injection-cheat-sheet
https://portswigger.net/web-security/sql-injection/cheat-sheet
XSS
XSS payloads