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I've heard of probabilistic data structures like Skip Lists and Bloom Filters being immensely useful and I'd like to learn more about them in general. Is there a canonical reference on the subject on the level of Cormen et al.?

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The closest site I can think of that might be canonical is the NIST standards web site:

http://xlinux.nist.gov/dads/HTML/skiplist.html

This site can be short on descriptions but has links to external sites ..

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The best list that I could find, that has probabilistic data structures is this Wikipedia page. The problem here is, the page also includes probabilistic algorithms. The list that I know of is:

There are probably many more, but these are the ones that I have found or that I was aware of.

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