A Feast For Crows (or AFFC) is the next book in the series, which GRRM is currently hard at work on. There are many release dates for this novel floating around the web, but most of them are mere conjecture. It seems likely that the book will not be finished until 2004, at least.
After AFFC, the fifth book will be A Dance With Dragons and the sixth will be titled The Winds of Winter. GRRM would like the series to be only six books, but he has admitted the possibility that it might be stretched to seven. The seventh is tentatively titled A Time For Wolves.
"The Arms of the Kraken" is a short story published in Dragon magazine, issue #305. It consists of four chapters from AFFC, dealing with the situation in the Iron Islands.
"The Hedge Knight" is a short story written by GRRM that was published in Legends, a collection of fantasy short stories edited by Robert Silverburg. The story takes place 89 to 112 years before A Game of Thrones, and tells the story of Duncan, a young hedge knight competing in a tourney at Ashford. GRRM has written a sequel to the story, also starring Dunk, called "The Sworn Sword," which is due to be published in Silverburg's next anthology, Legends 2.