I have been taking a couple of machine learning classes on Coursera (Johns Hopkins - Practical Machine Learning, WashU - Introduction to Data Science, waiting for Stanford's course to be offered again!) and I find the following post to be very useful in explaining in detail the mechanics of feature selection.
http://topepo.github.io/caret/featureselection.html
It explains various methods and algorithms for feature selection in R. The caret package is particularly useful as it conveniently unifies different methods under a single function wrapper, train.
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