Sometimes you're not really sure about what you want do, or you have a data set you just want to throw a bunch of stuff at and see what sticks. I've found the following useful:
Rapid Miner This is a fully functional data mining tool. You create a processing workflow via drag and drop components, typically defining an input source, some processing and an output source. It supports everyone's favourite machine learning/AI techniques like SVMs, Neutral Nets, KNN etc. Thomas Ott at Neural Market Trends has some great rapidminer tutorials that can help you get up to speed.
Eureqa This is a tool which takes a data set and will try and find the function that describes it best. A bit more lightweight in terms of functionality compared to rapid miner, but can also be quite handy. It is windows based and I have not used it extensively, however it did seem to do what it said on the box.