Given the importance of visualizations, I have found S-Plus to be quite useful. I personally find this program more annoying than useful, but it has some decent ability to manipulate data. UCLA s ATS has a good batch of SPSS links here. Not that you care, but this was my first real experience with a program, working with Doug Rivers and John Ferejohn back in the summer of 96. Since the program is pretty much public domain, the zipped program is here .
Some online documentation is located here .
For time series, a package with a lot of canned routines is. For my Bayesian work, I rely on. A bunch of papers dealing with Markov Chain Monte Carlo methods can be found at the MCMC preprint service . My advisor, Simon Jackman has a bunch of useful information and links on his page. Richard Tucker has a good page with a bunch of game theory and econometric links.