- The classic book The Elements of Statistical Learning by Hastie, Tibshirani, Friedman is available for free online. There's also an accompanying R package.
- I previously discussed David Mease's online data mining course
- Rattle - a data mining GUI for R.
- Some comments on data mining by John Maindonald
- Luis Torgo has a book currently available online providing demonstrations of data mining using R
- Cran Task View on Machine Learning & Statistical Learning
Some Casual Observations
- Data mining seems more concerned with prediction using observed variables than with understanding the causal system of latent variables; psychology is typically more concerned with the causal system of latent variables.
- Data mining typically involves massive datasets (e.g. 10,000 + rows) collected for a purpose other than the purpose of the data mining. Psychological datasets are typically small (e.g., less than 1,000 or 100 rows) and collected explicitly to explore a research question.
- Psychological analysis typically involves testing specific models. Automated model development approaches tend not to be theoretically interesting.