Gretl (main page here) is a free, user-friendly and sophisticated econometrics package. Its coverage of statistical methods is, however, not as comprehensive as that of GNU R, which is also free, open-source software.
To facilitate inter-operation of the two programs, gretl offers the ability to save the current data set in a format suitable for analysis using R; to launch an R session with the current gretl data set automatically loaded into R's workspace; to embed R scripts within gretl scripts; and, more generally, to have the two programs exchange data and results in a fairly transparent way. The Gretl User's Guide has a chapter devoted to this topic.
To find out more about GNU R, we recommend starting with An Introduction to R. For further information, and to download R, visit cran.r-project.org.