R Programming/Bayesian Methods
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- LearnBayes by Jim Albert
- bayesm by Peter Rossi and Rob McCulloch
- BaM by Jeff Gill
- arm package by Jennifer Hill and Andrew Gelman.
- MCMCpack package.
- mcsm package by Christian Robert and George Casella.
- umacs (link) by Jouni Kerman and Andrew Gelman.
Interface with WinBugs 
- WinBugs/OpenBugs is a popular statistical package for MCMC techniques.
- Andrew Gelman has some instruction to use R and WinBugs on his webpage
- There is also an interface with JAGS
- Christian Robert and Jean Michel Marin The Bayesian Core (link including slides and R scripts)
- Jim Albert : Bayesian Computation with R, Use R!, Springer 2007.
- Christian Robert and George Casella Introducing Monte Carlo Methods with R, Use R!, Springer 2009 (link including the mcsm package).
- Peter Rossi, Greg Allenby, Robert McCulloch : Bayesian Statistics and Marketing and "bayesm" package.
- CRAN task view for bayesian statistics (link)