I'm currently doing the Datamining Specialist course and i try to use open source solutions, and if not open source, linux solutions... because i am a unix user.
This is a list of software i recommend to try, i am studying some features and they are
all great:
WEKA (http://www.cs.waikato.ac.nz/ml/weka/)
Weka is a collection of machine learning algorithms for data mining tasks. The algorithms can either be applied directly to a dataset or called from your own Java code. Weka contains tools for data pre-processing, classification, regression, clustering, association rules, and visualization. It is also well-suited for developing new machine learning schemes.
The R Project for Statistical Computing (http://www.r-project.org/)
R is a free software environment for statistical computing and graphics.
Matlab (http://www.mathworks.com/)
This is a commercial software that can be used to create models of artificial neural networks and any kind of math problems.
dTree ( http://www.aispace.org/dTree/)
This tool demonstrates how to build a decision tree using a training data set and then use the tree to classify unseen examples in a test data set.
If you know some other soft, please post it and i'll try it.