Collections of applets for teaching/learning: www.amstat.org/sections/educ/applets.html
One (of many) list of free software packages: www.aghmed.fsnet.co.uk/r/free.htm
GGobi http://ggobi.org/
GGobi is an open source visualization program for exploring high-dimensional data.
eViews www.eviews.com
Innovative solutions for econometric analysis, forecasting, and simulation.
OxMetrics www.oxmetrics.net
OxMetrics is the name of a family of software packages providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling and for the statistical analysis of cross-section and panel data.
Data Visualization Tools http://datavisualization.ch/
A Carefully Selected List of Recommended Tools (also http://selection.datavisualization.ch/)
Contains a nice list of tools, libraries, and software for data visualization. Many of the tools are online.
ExpertFit - Distribution Fitting Software http://www.averill-law.com/ExpertFit-distribution-fitting-software.htm
Before considering the use of this software, see this discussion thread with notes on data dredging:
@RISK http://www.palisade.com/risk/
For use with Microsoft Excel
Performs risk analysis using Monte Carlo simulation
Equalis
Provides an open source alternative to Matlab.
Scilab
Open source alternative to Matlab
Built from the same kernel as Matlab
Free Software for Numerical Computation
Statisticx
Bayesian tools:
WinBUGS
Infer.NET (research.microsoft.com/infernet)
Lambda the Ultimate - the Programming Languages Weblog
IBM ManyEyes
Statistics in Python
Python data analysis library
Gnu Regression, Econometrics and Time-series Library