You can check it out (and install it) by typing the following in Stata:
. net from http://leuven.economists.nl/stata
You might also find my introduction to Stata helpful:
Getting Started in Stata Without Losing Time
If you think Scientific Workplace is terrific (or crap), check out LyX. Did I tell you that it's free?
If you do some number crunching, take a look at R, a free software environment for statistical computing. (It's a bit of a memory hog though, so if you work with really big datasets you might need to look elsewhere, or get yourself that 64bit machine with a big pile of RAM...)
Getting started in R can be overwhelming. Luckily there is a webpage that nicely summarizes what packages are available for doing econometrics in R