I like the R Project for Statistical Computing to which I have contributed a couple of packages:

BayHaz R Functions for Bayesian Hazard Rate Estimation
giRaph The giRaph package for graph representation in R (joint with C. Dethlefsen and J.H. Badsberg)

I have also developed some R scripts for Bayesian inference, first coded on the occasion of ABS07: Summer School on Bayesian Methods and Econometrics.

Below are some links to software that I have found useful...

...for Mac:

Fugu Graphical Frontend to SFTP
Mi Text Editor by Daisuke Kamiyama
TeXShop TeX for Mac

...for Win:

IrfanView Graphic Viewer by Irfan Skiljan
MiKTeX TeX distribution for Windows
TeXnicCenter Integrated Development Environment for LaTeX

"Il semble que la perfection soit atteinte
non quand il n'y a plus rien à ajouter,
mais quand il n'y a plus rien à retrancher"