The blog A Beautiful WWW has some helpful suggestions for anyone thinking about getting started with machine learning. Among the recommendations: use R (of course), read The Elements of Statistical Learning (excellent book), and practice on some of the free datasets available at the UCI Machine Learning Repository. There are also links to some other useful books, and a video of a Machine Learning lecture course from Stanford.
A Beautiful WWW: Guide to Getting Started in Machine Learning
(You might also be interested in this post: Machine Learning in R, in a nutshell.)
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