Software

R
R is a free software environment for statistical computing and graphics. It compiles and runs on a wide variety of UNIX platforms, Windows and MacOS.
www.r-project.org

G Power
G*Power 2 is a general power analysis program that comes in two essentially equivalent versions: one runs under the Macintosh OS and the other was designed for MS-DOS.
www.psycho.uni-duesseldorf.de/aap/projects/gpower

Stat/Transfer
Stat/Transfer provides an extremely fast, reliable, and automatic way to exchange data between different spreadsheet and statistics programs.
www.stattransfer.com

IRT Command Language (ICL)
ICL is a computer program that can perform single- or multiple-group estimation of the 1-, 2-, and 3-parameter logistic item response models for dichotomous items, and the partial credit model and generalized partial credit model for polytomous items.
http://www.b-a-h.com/software/irt/icl/

WinBUGS
A stand-alone program to allow practical MCMC methods available to applied statisticians. Either a point and click interface can be used to control the analysis or a graphical interface can be constructed.
www.mrc-bsu.cam.ac.uk/bugs

Comprehensive collection of statistical software, by topic, with links:

http://www.dmoz.org/Science/Math/Statistics/Software/