Is there a master list of the Big-O notation for everything? Data structures, algorithms, operations performed on each, average-case, worst-case, etc.
Try "Introduction to Algorithms" by Cormen, Leisersen, and Rivest. If its not in there its probably not worth knowing.
Introduction to Algorithms, Second Edition, aka CLRS (Cormen, Leiserson, Rivest, Stein), is the closest thing I can think of.
If that fails, then try The Art of Computer Programming, by Knuth. If it's not in those, you probably need to do some real research.
The Cormen book is more about teaching you how to prove what Big-O would be for a given algorithm, rather than rote memorization of algorithm to its Big-O performance. The former is far more valuable than the latter, and requires an investment on your part.
In c++ the STL standards is defined by the Big-O characteristics of the algorithms as well as the space requirements. That way you could switch between competing implementations of STL and still know that your program had the same-ish runtime characteristics. Particularily good STL implementations could even special case lists of particular types to be better than the standard-requirements.
It made it easy to pick the correct iterator or list type for a particular problem, because you could easily weigh between space consumption and speed.
Ofcourse Big-O is only a guide line as all constants are removed. If an algorithm runs in k*O(n), it would be classified as O(n), but if k is sufficiently high it could be worse than O(n^2) for some values of n and m.
Dictionary of Algorithms and Data Structures is a fairly comprehensive list, and includes complexity (Big-O) in the algorithms' descriptions. If you need more information, it'll be in one of the linked references, and there's always Wikipedia as a fallback.