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The R programming language was featured about a year ago in a New York Times article (http://bit.ly/iaqQ). I've been an R user since 2000, so I've collected some resources for people who want to get started with R.   The first place to start is the R Project web site at http://www.r-project.org/. Next, you'll actually want to install R itself. There are several options, depending on your environment.

Did you know you can use F# type providers to access thousands of statistical packages from R, with auto-complete and documentation? Those of you into data analysis will be aware of the use of the R system by statisticians and other data workers. The F# community and BlueMountain Capital have created a type provider for F#-R interop which embeds all installed R packages directly into F#, with intellisense.  See the  example below.