I have compiled a small Matlab Toolbox for the solution of discrete dynamic programming problems. Most of the problems are familiar to economists, like the standard Real Business Cycle model or the Mendoza's (1991) model (please see attached "macrotoolbox.zip" file below).
Other tools for the solution of DSGE models:
1. Dynare (by Michel Juillard at CEPREMAP)
2. Iris (by Jaromir Benes at the IMF)
3. CompEcon Toolbox (by Paul Fackler and Mario Miranda)