One of the best, and possibly the only, guide to advanced use of R is the manual “Econometrics in R” by Grant V. Farnsworth. Dated June 26, 2006 it was originally written as part of a teaching assistantship and personal reference. Some of the topics covered I have found nowhere else. The manual is particularly through in treatment of regression, i.e.:

3 Cross Sectional Regression
3.1 Ordinary Least Squares
3.2 Extracting Statistics from the Regression
3.3 Heteroskedasticity and Friends
3.3.1 Breusch-Pagan Test for Heteroskedasticity
3.3.2 Heteroskedasticity (Autocorrelation) Robust Covariance Matrix
3.4 Linear Hypothesis Testing (Wald and F)
3.5 Weighted and Generalized Least Squares
3.6 Models With Factors/Groups
4 Special Regressions
4.1 Fixed/Random Effects Models
4.1.1 Fixed Effects
4.1.2 Random Effects
4.2 Qualitative Response
4.2.1 Logit/Probit
4.2.2 Multinomial Logit
4.2.3 Ordered Logit/Probit
4.3 Tobit and Censored Regression
4.4 Quantile Regression
4.5 Robust Regression - M Estimators
4.6 Nonlinear Least Squares
4.7 Two Stage Least Squares on a Single Structural Equation
4.8 Systems of Equations
4.8.1 Seemingly Unrelated Regression
4.8.2 Two Stage Least Squares on a System