Typical models in R include linear, generalized linear, generalized additive, local regression, tree-based, and nonlinear. A good book on this is Statistical Models in S by Chambers and Hastie.

I have used it for stock analysis and for web log file analysis. It is not particularly fast, so you would benefit from performing data reduction on your dataset before handing it off to R.

It should work perfectly the first time! - toma