Stata, R, Matlab, and Mathematica are probably the most commonly used data analysis environments out there. I find IgorPro to be a more lightweight and intuitive alternative. It is geared more towards science and engineering applications, as opposed to mathematics, statistics, or economics. Think hard about where to invest your time here: each package has its quirks, once you gain some "local" expertise in becomes exceedingly more difficult to switch.

Igor Pro
IGOR Pro is an interactive software environment for experimentation with scientific and engineering data and for the production of publication-quality graphs and page layouts.

Mathematica
Almost any workflow involves computing results, and that's what Mathematica does—from building a hedge fund trading website or publishing interactive engineering textbooks to developing embedded image recognition algorithms or teaching calculus.

MatLab
MATLAB is a programming environment for algorithm development, data analysis, visualization, and numerical computation. Using MATLAB, you can solve technical computing problems faster than with traditional programming languages, such as C, C++, and Fortran.

The R Project for Statistical Computing
R is a language and environment for statistical computing and graphics. It is a GNU project which is similar to the S language and environment which was developed at Bell Laboratories (formerly AT&T, now Lucent Technologies) by John Chambers and colleagues. R can be considered as a different implementation of S. There are some important differences, but much code written for S runs unaltered under R. R provides a wide variety of statistical (linear and nonlinear modelling, classical statistical tests, time-series analysis, classification, clustering, ...) and graphical techniques, and is highly extensible. The S language is often the vehicle of choice for research in statistical methodology, and R provides an Open Source route to participation in that activity.

Stata
Stata is a complete, integrated statistical package that provides everything you need for data analysis, data management, and graphics. Stata is not sold in modules, which means you get everything you need in one package. And, you can choose a perpetual license, with nothing more to buy ever. Annual licenses are also available.
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MATLAB is a programming environment for algorithm development, data analysis, visualization, and numerical computation. Using MATLAB, you can solve technical computing problems faster than with traditional programming languages, such as C, C++, and Fortran.