Bayesian Time Series Analysis by Mike West
   Fortran/S-plus software for nonstationary time series analysis and autoregression component models and the BATS software for the book "Applied Bayesian Forecasting and Time Series Analysis".
   http://www.isds.duke.edu/~mw/softwareetc.html

Software for Flexible Bayesian Modelling by Radford Neal
   Supports Bayesian regression and classification based on neural networks, Gaussian processes and mixture models using a variety of Markov chain sampling methods.
   http://www.cs.utoronto.ca/~radford/fbm.software.html