Parish registers online
378,000 Dorset baptisms and marriages are included in the IGI at FamilySearch but not all parishes are included (you can see the coverage here). FamilySearch also has a growing Dorset Parish Registers collection with 447,000 baptisms, marriage, and burials (whilst the collection is said to extend from 1538-1936 some of the burials are far more recent).
Ancestry has transcribed approximately 2.3 million baptism, marriage, and burial records for Dorset, and you can also view online images of the parish registers (however some of the entries have been ascribed to the wrong parish, so it's worth double-checking in other sources if the parish isn't shown in the image of the register page). The collection also includes Wills & Probate Records from 1565-1858 and Tithe Apportionments for the period 1835-50.
Findmypast has transcriptions of about 250,000 baptisms and marriages.
Findmypast also has transcriptions of 285,000 burial entries from the National Burial Index.
The volunteers of FreeREG have transcribed some of the registers for about 115 Dorset parishes.
The Dorset OPC project has transcribed over 1.6 million parish register entries.
Births, marriages and deaths
There are no local BMD indexes for Dorset.
Allington 1831, Beaminster 1775, Broadwinsor (pt) 1821, Buckland Newton 1808, Compton Abbas 1821, Corfe Castle c1790, 1811, 1821, 1831, Corfe Castle Borough 1803, Horton 1821, Langton Herring 1830, Litton Cheney 1821, Lyme Regis 1577, 1695, 1697, 1699, 1701-3, Marnhull 1821, Martinstown 1801, Melbury Bubb (pt) 1838, Melbury Osmond 1800, 1839, Oborne 1801, Pentridge 1836, Poole 1574, Poole Borough 1803, Puddletown 1724-9, 1769, Rowbarrow Hundred 1803, Ryme Intrinseca 1831, Shaftesbury St James 1821, Sturminster Newton 1801, Thornford 1821, Tolpuddle 1776, 1791, 1795, 1804, West Parley 1815, Whitchurch Canonicorum 1811, Wimborne St Giles 1821, Winterborne Whitchurch 1821, Woodlands 1821
Key Dorset resources
Dorset History Centre in Dorchester not only holds registers for 300 Dorset parishes but also Poor Law records, Electoral Registers, Dorchester Prison records, and the records of Herrison Hospital (formerly Dorset County Lunatic Asylum).
Dorset Family History Society holds monthly meetings in Upper Parkstone, near Poole. There is a large collection of parish register transcriptions which can be viewed at the society's Treetops Research Centre in Poole (many of those transcriptions can also be viewed at findmypast).
Somerset & Dorset Family History Society has 10 local groups, 4 of which are in Dorset. The society has compiled a Dorset Marriage Index for the period 1538-1837 which is virtually complete, and a Dorset Burials Database with over 300,000 entries.