Good Fan-made MLP:FiM thingamy-jigs!

There's a wonderful fan-made My Little Pony comic called 'Tales From Ponyville'.
It's a fun, simple slice-of-life comic. It's beautiful to look at, it's funny, sometimes silly (though it has a nice amount of intelligence too), and overall very nice and good-natured. It also very accurately recreates the characters and feel of the show (in my opinion!)

Here's a link to the creator's deviantART page!
(Look in the Gallery - the comic is in its own folder.)

Also, if you prefer, here's a link to the comic on tumblr.

Another entertaining fan-made comic is called 'Slice Of Life'.
Don't be put off by its rather generic sounding name - it's actually pretty good!
It's set about 8-10 years in the future in Ponyville, and the main characters are Pumpkin Cake and Pound Cake, who are now older children. It's very well drawn, well-written and often funny, it follows the feel and spirit of the show quite well and it's interesting to see all the inhabitants of Ponyville a few years older! Occasionally the Cake children are a little too mopey and self-centred for my liking, but overall this is another good-natured comic.

Click here to read the comic on tumblr!

My third recommendation is for a fan-made 'My Little Pony' game!
It's called 'Super Lesbian Horse RPG'. It's a short, but funny and entertaining RPG, set in a slightly different version of Equestria (but still being faithful to the show's characters and overall feel).
It's also completely free!
It doesn't contain any overly sexual or violent stuff, though it does feature the six main characters being in love with each other (so if you don't like that sort of thing, the game probably won't appeal to you that much - but, if you can ignore all that, there's still a lot of entertaining dialogue and gameplay to enjoy in the game).

Clicking here will take you to the tumblr page where you can download the game for free!

NEW ADDITION, MADE ON MARCH 5th 2014:

Oh my gosh, how could I have forgotten this?!

Another very good fan-made comic is 'Twilight's First Day'.
It depicts Twilight Sparkle, as a young filly, on her first day at Princess Celestia's school for talented unicorns. (It starts right from her waking up in the morning!) Twilight is faithfully depicted as the enthusiastic, intelligent, well-read and warm-hearted (though rather anxious and awkward) pony that I love, but with a touch of child-like recklessness and naivety.
'Twilight's First Day' is a very warm, charming, funny and well-written comic. Twilight has engaging, interesting interactions with Shining Armour, her parents, Celestia, and loads of other characters.
The drawing style is one I haven't really seen before. It's not exactly like how the original show looks (it's more... chunky, I suppose), but it's still a very good-looking style.

Here's a link to the comic's first page!
(There are links to the next page, and previous page, on each page of the comic in the 'Author's Comments' section.)

If you click on this link, it'll take you to the creator's deviantART page!