In this year's ICML, Pascal Poupart, Mohammad and myself are giving a tutorial on Bayesian Methods for Reinforcement Learning.
The tutorial webpage is:
http://www.cs.uwaterloo.ca/~ppoupart/ICML-07-tutorial-Bayes-RL.html
If you're planning on attending ICML this year, please consider taking the tutorial, as this will be your first (and possibly only) chance to get familiar with this family of methods, all in one day.
Regards, Yaki Engel.