C
Cuba -- a library for multidimensional numerical integration
Numerical Recipes in C (entire book and library of mathematical subroutines)

Fortran
Numerical Recipes in Fortran 77 and 90 (book and library of mathematical
subroutines)

Gauss
Guide

Scientific Document  Processor
LyX -- download (similar to TeX/LaTeX)
LaTex (everything)

Mathematica
Getting started

Matlab
CompEcon Toolbox

SAS
Resources to Learn and Use SAS

SPSS
Resources to Learn and Use SPSS

Stata
Resources to Learn and Use Stata