MATLAB

Elliptical Slice Sampling
Code and test suite for rapidly sampling from the posterior distribution of a function with a Gaussian process prior.

Slice Sampling Covariance Hyperparameters of Latent Gaussian Models
Code and test suite for efficiently sampling from the posterior distribution over the hyperparameters of a latent Gaussian model. See arxiv:0868:1062 for more information.

Bayesian Online Changepoint Detection
Detect abrupt changes in noisy time series.

hermquad.m
Calculate the Gauss-Hermite abscissae and weights, given the number of points you wish to use.

invpsi.m
Calculate the inverse psi (digamma) function.

pinwheel.m
Generate two-dimensional noisy pinwheel data.

warpmesh.m
This applies a matrix to every entry generated by a call to meshgrid().

zerocross.m
A very simple function to calculate the locations of zero crossings in a vector.

Python

Tree-Structured Stick Breaking for Hierarchical Data
Discover hierarchies in data with an infinite-dimensional tree-structured random measure.

Bayesian Probabilistic Matrix Factorization with Side Information
This is code (and data) for using Gaussian processes to for dependent matrix factorization, applied to NBA score data.

xmpl
This lets you use Matplotlib (a very nice graphing library) to generate plots without having to actually write any Python. The idea is to make an XML document that is then rendered.

Perl

Template::XMPL
This is for using xmpl (see above) with the Template Toolkit. With this you can use Perl and Catalyst (or whatever) on your webserver to generate plots from (perhaps dynamically-generated) XML.

Lisp

cl-gnuplot
A basic package for manipulating Gnuplot from Lisp.

Java

XYZtoMorpheus
A little program for converting between morphometric formats.

Links to Other People's Useful Code

Lightspeed
Tom Minka's incredibly-useful MATLAB toolbox. It introduces many useful functions and speeds up many existing ones.

Gaussian Processes for Machine Learning
The MATLAB code to go with the book by Carl Rasmussen and Chris Williams.

Minimize
A great conjugate gradient minimizer for MATLAB by Carl Rasmussen.

mmfminunc.m
MATLAB Quasi-Newton optimizer. Very nice when you don't have an analytic gradient. Written by Duane Hanselman.

scattercloud.m
Plots a histogram of two dimensional data in MATLAB. Written by Steve Simon.

Stixbox
If you don't have the MATLAB Statistics Toolbox ($$$), this might not be a bad substitute.