The graph below is the density function of a normally distributed random variable with expected value m (mu) and standard deviation s (sigma).
By moving the scroll bars you can change the values of m and s.
The blue vertical line gives the location of the expected value and the red horizontal line gives the interval (m-s, m+s). Thus, its length is twice the standard deviation (s).
The blue density function is the density function of the standard normal distribution.
One problem with this applet is that the screen on which the distribution is drawn is fixed: if you try to resize this applet to make it smaller, you'll lose part of the graph! Not good....