The mentioned sites are probably good. I never tried those though.
I struggled with ear training quite a bit when I was in my late teens/early twenties. I played guitar back then so I had to learn to identify whole cords, not only the bassline. That has proven to be very useful to me. What I did to become better was to learn to recognize chord progressions by ear and trying to transcribe songs using my guitar. I started with very simple two and three chord songs. Gradually, I started to learn how the I (e.g. G), IV (C) and V (D) chords sounded in relation to the each other, and I become able to transcribe (simply write down the chords to) these simple songs without using my guitar if I knew the key.
Next step was to learn to identify the minor diatonic chords ii, iii and iv too (in the key of G major as in the example above, they would be Am, Bm and Em), and how they sound in relation to each other and the major chords I, IV and V. That was considerably harder and took longer time but gradually I learned that too pretty well.
That was however only the basics. I've learned a lot more than that, but there still are a lot of progressions that gives me headache. Just check out the Steely Dan repertoire or even some Stevie Wonder songs (especially the "Fulfillingness' First Finale" album) and you know what I mean... Both utilize very strange chord progressions from time to time. Very interesting music nevertheless...
