Work in progress
For practical and philosophical reasons, I'm a big believer in using freely available software tools. But I recognise that many people use the commercial stuff, so you might like my page on Stata and SPSS.
But here are some links to free software packages.
EPI Info 2002 - a general purpose statistics package able to provide tables, graphs, and maps. Something of a specialism with epidemiologic statistics. Reads MS-Access files.
R - the R project for statistical computing. This is ‘a language and environment for statistical computing and graphics‘. A major undertaking, that makes freely available a version of the acclaimed S language for conducting statistics.
lEM - or ‘log-linear and event history analysis with missing data using the EM algorithm’. This program may have a steep-ish learning curve for those used to a menu-driven approach, but the range of its features is impressive, and the range of models available more than lives up to its title. Jeroen K. Vermunt, thanks.
TDA - or Transition Data Analysis. A software progam for event-history models, available for different platforms. Respect to Goetz Rohwer and Ulrich Poetter.
Ghostscript - which is a freely available interpreter for PostScript (.ps, .eps) and PDF files. Also useful on the path to creating PDF files (e.g. print to file using word and postscript printer driver, then convert using Ghostscript).
Irfanview - a very fast graphics viewer for Windows. Great for converting file formats (BMP->JPG, WMF->PNG, whatever), esp in batches. Free for non-commercial use.
ConTEXT - a free text editor. Does useful things, like edit files of unlimited size, allow vertical text selection, highlight program syntax, etc.
Python. - a high-level programming language with very clear syntax. As with perl, below, an interpreted scripting language.
Perl. - a high-level programming language originally devised by Larry Wall. Based, a bit, on C and awk, possibly.
TeXnicCenter - an integrated development environment developing LaTeX-documents on Windows. If you've understood this you'll know why it's helpful - if not it's a long story.