JMP
A package that contains a variety of ANOVA, regression, ARIMA, and time-series smoothing models.

Leading Market Technologies (producers of EXPO - a statistical package designed for financial analysts)
This site contains information about the EXPO package (a free student version is available).

LIMDEP 8.0
This econometrics software package was written by William Greene, the author of Econometric Methods. LIMDEP is updated frequently and contains state-of-the-art estimators. LIMDEP contains estimators for most single-equation and simultaneous equation econometric models. No other package contains as diverse a mix of estimators for limited dependent variable models. It''s only weakness is its limited capabilities for dealing with time-series models.

LISREL
LISREL is a statistical package designed to estimate models involving linear structural relationships among observed and latent (unobserved) variables.

MacAnova
A statistical and matrix algebra package that is strongest in ANOVA models with some basic regression and time series models. Available on Mac, Windows, and Linux platform. This package is free for educational users.

Macsyma
This is a commercial symbolic algebra package that is comparable to Mathematica and Maple.

Maple
One of the most popular mathematical processing languages. While this is not a statistical package, it is often used to teach statistical and econometric concepts. Software libraries are available for many applications.

Mathematica
The major competitor to Maple. (See the notes above for Maple.) A Mathematica Help Page is available at Yale

MathCad (from Mathsoft)
MathCad is another mathematical processing language.

Matlab
A mathematical processing language that is a competitor to Mathematica and Maple.

Matrixer
This Windows shareware program offers a large and growing selection of time-series, cross-sectional, and limited dependent variable models.

Maxima
An open source descendent of the original Macsyma symbolic algebra project.

Microfit
This is a general econometrics package, developed by B. and M. Hashem Pesaran, for Windows platforms. This package has a very good mix of estimators for ARCH, GARCH, cointegrating VAR models, and other time series models.

Minitab
A commonly used package for teaching basic statistics and econometrics. It does not have many of the features of modern econometric software, but it is easy to use and offers good online help facilities.

MLEQuick
MLEQuick is a menu-driven program that contains estimators for a wide variety of regression, limited dependent variable and survival models. Those with some programming experience in C++ may also wish to use MLE++ (a collection of MLE routines written in C++).

MuPAD
An alternative to Mathematica or Maple that is available on Windows, Linux, and Mac platforms. A free "Light" version of thhis package is available from this site.

Mx
Mx is a structural equation modeling program that allows the user to specify models using either a matrix algebra language or a graphical user interface. Linear and nonlinear equality constraints, missing data, and multilevel models may be handled with this package.

NAG (Numerical Algorithms Group)
A major supplier of Fortran 77, Fortran 90, C, and Ada code for statistical and other applications. This company also provides a variety of statistical packages including GLIM and a statistical add-on for Excel. (These packages can be used for a variety of ANOVA, linear, nonlinear, and (user-specified) maximum likelihood procedures.

O-Matrix
A matrix programming language that is can be used for statistical applications. A demo version may be downloaded from this site.

Octave
Another mathematical programming language.

Ox
Ox is an object oriented matrix programming language designed for statistical applications. Educational users may download a copy of Ox from this site (along with Pc-Give - described below). This package provides a nice free alternative to GAUSS for educational and noncommercial research applications.

PcGive
PcGive is a statistical package written by Doornik and Hendry that is particularly well suited for time-series models. This package has been designed with to encourage the general to specific model building practice for which the London School is known. (This package now includes PcFiml.)

R
The R Project for Statistical Computing is a GNU project that has developed a set of mathematical tools and statistical procedures that provide a free alternative to AT&T''s S package.

RATS and CATS
A very powerful time-series package that runs on Windows and Mac platforms. This package is very well suited for estimating VARS and a variety of time-series models. The CATS package provides additional cointegration tests and features.

Resampling Stats
A site that contains information about an alternative approach to teaching statistics and downloadable software programs that can be used for this approach.

S Plus
An exploratory/visual data analysis package with limited econometric functionality.

SAS
For many years, SAS has been the dominant mainframe package for dealing with large econometric models.

Shazam
A popular package that contains estimators for most basic econometric models. This page contains sample documentation, data, and allows visitors to run Shazam programs remotely.

Soritec
Soritec is a reasonably full-featured econometrics software package with nice graphical capabilities. Estimators are available for OLS, 2SLS, 3SLS, SURE, ARIMA, logit, probit, and transfer function models. A student version is available for $10. Soritec is available for DOS and Windows platforms. While this package contains most regression model estimators, it is still a bit limited in sample selectivity models.

Spatial Statistics Software, Spatial Data, and Articles
This site, provided by Kelley Pace, contains free spatial software written in Matlab that makes it possible to estimate large spatial autoregression models. A Fortran 90 version of the software (Spacestatpack) is also available, as well as spatial data, spatial articles, and links to other sites that contain information related to spatial statistics models.

STAMP (Software for Structural Time Series Modeling)
A structural time series package that models and forecasts time series variables.

StatsDirect
A basic statistics package that estimates regression, probit and logit, and survival analysis.

SPSS
A very popular package among econometricians in the late 1970s and early 1980s.

SST
An econometrics package that can be used to estimate a variety of maximum likelihood problems. A variety of regression and limited dependent models are available.

Stata
During the last decade, Stata has become one of the most widely used econometric software packages. It now includes a wide variety of robust estimators for regression, limited dependent variable, panel data, and time-series models. Only SAS comes close to the variety of estimators provided by this package.
UCLA''s Stata tutorial

StatTransfer
While this is not an econometric software package, this program is an extremely valuable tool that provides conversion among most commonly used data formats. These data formats include speadsheet and database formats as well as the internal storage formats for virtually all major econometric and statistical software packages.

StatView
A now discontinued product that was very popular among Mac users (a Windows version was also available). This package provides basic regression and survival analysis models, but does not contain many fundamental econometric estimators.

Stixbox
A free library of statistical routines for use with MATLAB.

SYSTAT
Systat is a popular statistical package distributed by SPSS. It is available on Windows and Mac platforms.

TSP International
The home of the original makers of TSP. This package was the first widely used econometrics software package on mainframe computers. The current version of this package runs on mainframe and PC platforms and contains several estimators that are not available on the current Micro-TSP and EViews packages. It still relies on the command-line user interface that should be familiar to econometricians who used earlier versions of the package. Those who are prefer using a mouse may wish to try the simpler interface available on EViews or MicroTSP. TSP is available for mainframe, DOS, Windows, OS/2, Mac, and unix machines.

WinSolve
A package for anlalyzing nonlinear economic models. A full demo version is available that functions for 120 days.

Xlisp-Stat
A statistical package written in Lisp by Luke Tierney at the University of Minnesota. The package may be downloaded from this FTP site.

XploRe
This package is designed for exploratory data analysis and nonparametric econometric applications.

XTREMES
A software package designed to analyze extreme data. This is primarily used for the analysis of insurance and speculative price data. XPGL, a graphical programming language in statistics, operates within the XTREMES package.

Yorick
Another free matrix language with numerous built-in statistical functions.

可能介绍的比较多，大家也没必要每种软件都要试一试，可重点关注eviews,tsp，gauss,limdep,mathematica,matlab,sas,spss和stata。实际上我也只不过经常使用这几种软件，下面我就把使用心得和大家分享一下，刚好我也梳理一下，助人助已。
1、eviews相信大家最熟悉了，这是目前高校里面使用最普遍的软件，是tsp（dos版）的windiows版本。其以界面的友善、使用的简单而著称，基本上操作是傻瓜式，但是非常实用，处理回归方程是它的长处，能处理一般的回归包括多元回归问题。我比较喜欢它的单位根检验和granger因果关系检验这两个命令，以及协整模型、ARIMA模型。我向入门者推荐这门软件。不过这个软件的劣势在于它的处理过程（傻瓜菜单）是个黑箱，出来的结果可能会不够精确，有的人可能会为得到一些结论造一些结果，可信度不是很高。（不过对于回归分析我相信对于同一组数据所有软件做出来的结果都是一样的）；另一个不足是只能处理时间序列数据。
tsp软件现在没人用了，因为没有再用dos操作系统了。
2、gauss软件比较强大，在国内有林光平博士《计算计量经济学：计量经济学家和金融分析师GAUSS编程与应用》这本书，附带一个guass软件的轻量版。这本书非常好，附带有许多已经编好的、可信赖的软件包，你只要编点简单的程序按你的目标把这些软件包串联起来就行了，很简单，这等于是把黑箱打开了一部分，提高的可信度。遗憾的是我没见到完整的gauss软件，可能有的也是盗版。
3、spss软件。我以前非常喜欢使用这个软件，界面友好，使用简单，但是功能很强大，也可以编程，eviews能处理的它全能处理，另外横截面数据的处理是它的强项，能处理多变量问题，如进行因素分析、主成份分析、聚类分析、生存分析等。目前我这里有正版的11.5版本。大家学有余力我强力推荐。
4、sas软件。这个软件非常强大，也被吹嘘的很神秘。可以说spss的功能它全有，另外它还带有一些帮助企业决策的功能。但是有两个方面的问题影响它的使用。一是相对前面几种软件它使用相对比较复杂，不是很容易学；另外sas软件非常大，盗版的太多，一般企业购买正版的较多，对于我们穷苦学生和学者来说安装正版有点奢侈，我以前机子里装的就是盗版。盗版可能影响数据处理的可信度。
5、mathematica软件。这是一个数学软件，现在有5.0版。使用非常方便，用一些简单的命令就可以得到你要的结果，对数据拟合、模型拟合处理的很好，得到的图形也非常漂亮。以前在本科数学建模的时候经常用，但是统计功能不是很强大。
6、matlab软件。这是一种工科软件，功能非常强大，在建筑、工程中使用比较多，做出来的图形能够用完美来形容，编程能力很强，不过用在统计上有点大才小用，编程也相对复杂。但是用做数学建模绝对是个好的工具。
7、limdep软件。这是一门专业的统计软件，不大，安装盘不到8M，目前版本是8.0。我有正版软件及三大卷使用guide。除了时间序列、横截面数据外，处理面板数据是它的强项。但是我感觉这个软件使用太复杂了，命令非常复杂，界面也不友好，学习起来太费时间，使用效率不高，我不推荐。
8、stata软件。说到最后才说到她，这才是我的最爱。只能用无数个“太好。。。”来形容。正当我使用limdep软件处理面板数据，做stochastic frontier analysis模型痛苦万分时，我找到了这个软件，太爽了。这个软件兼有常用的eviews,spss,limdep,gauss有长处，使用简单，真正是把傻瓜菜单和命令、编程完美结合起来，目前版本是9.0。处理面板数据是它的优势，功能是太多了，技术细节处理的非常好，而且如果你是用正版的话，基本上每个星期都有在线升级，网站的支持功能也做得非常好。如果你有课题经费报销的话我绝对支持你去买一个正版，绝对值得！
说得这么多，可能弄得有点复杂了，对于上面几种统计软件的选择，对于初学者我有几点建议：
1、只选对的。如果你是入门，依据实用性原则，eviews应是你的首选，其次是spss。依照简单性原则，时间序列用eviews，横截面数据用spss，面板数据用stata，具体的依照你的水平和处理对象。各种软件各有优劣势。我也是把各种软件结合起来用，根据需要来选择。
2、最好用正版软件。我知道我们都是穷苦子弟，导师课题费使用也很抠门，但是从对你学习的帮助程度、数据处理的可信性来说选正版是理性的。如果真要用盗版的话用eviews和spss吧，简单也有点可信。
以上是我的一些介绍，有未尽之处、不对之处对象大家补充和指正。
(一些新的补充：
EXCEL也能做一些简单直观的统计分析，如果已经安装宏的话还能做一些数值分析，也很实用。
EVIEWS也能进行面板数据的处理，但是很不方便。
有网友说spss在多元统计分析方面较突出，而eviews在计量经济模型方面较优，二者结合应用比较理想；sas在数据挖掘方面功能较强，matlab、mathematica软件可能在数值计算方面占优,这些说得很有道理。）

这帖必须顶！

很全面！！

非常好的帖子！