R has lots of bayesian estimation procedures, much more than Stata or SAS.
- 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