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Here's what i've heard over the summer so far. Hardly any of these will actually happen really though, they are just rumours after all.
Arsenal:
Frank Ribery (in/ Marseille)
Craig Gordon (in/ Hearts)
Thierry Henry (out/ Barcelona)
Tomas Rosicky (out/ Atletico Madrid)
Chelsea:
Diego (in/ Werder Bremen)
Tal Ben Haim (in/ Bolton)
Shaun Wright-Phillips (out / ???)
Khalid Boulahrouz (out/ Bayern Munich)
Liverpool:
David Villa (in/ Valencia)
Samuel Eto'o (in/ Barcelona)
Fernando Torres (in/ Atletico Madrid)
Javier Saviola (in/ Barcelona)
David Silva (in/ Valencia)
Daniel Alves (in/ Sevilla)
Morten Gamst Pedersen (in/ Blackburn)
Simoa (in/ Benfica)
Craig Bellamy (out/ Aston Villa, Blackburn)
Sami Hyypia (out/ Wigan)
Man Utd:
Fernando Torres (in/ Atletico Madrid)
Samuel Eto'o (in/ Barcelona)
Javier Saviola (in/ Barcelona)
Nicholas Anelka (in/ Bolton)
Craig Gordon (in/ Hearts)
Morten Gamst Pedersen (in/ Blackburn)
Gabriel Heinze (out/ Real Madrid, Barcelona, Juventus)
John O'Shea (out/ Bayern Munich)
Louis Saha (out/ Lyon)
Mikael Silvestre (out/ ???)
A few more i just found: The Scholes one i can't see that happening!!!! Milan have also confirmed their interest in Henry.
Arsenal
Nigel Reo-Coker (in/ West Ham)
Thierry Henry (out/ Barcelona, AC Milan)
Chelsea
Arjen Robben (out/ Bayern Munich)
Andriy Shevchenko (out/ AC Milan)
Claude Makelele (out/ Vilarreal, MLS club)
Liverpool
Carlos Tevez (in/ West Ham)
Florent Malouda (in/ Lyon)
Mark Gonzalez (out/ Real Betis)
Djibril Cisse (out/ Marseille)
Mohamed Sissoko (out/ Juventus)
Man Utd
Paul Scholes (out/ Sunderland)
Wes Brown (out/ Sunderland)