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Few days ago I started a $n$lab page moduli space of bundles which has almost no real content so far, but has a number of references, mainly about the moduli of stable vector or principal bundles on curves. People are welcome to improve the page with some explanations. Mumford's book Geometric invariant theory should be useful for the background. For the torsion free sheaves part, I would also recommend looking at recent works of Nakajima, Göttsche, Stafford and others.