Came across this free software in my hunt for data mining applications: RapidMiner.
It's free for personal use and you can do forecasting with both A.I. methods and statistical methods. And if you're running a 64 bit OS you can finally take advantage of your PCs capabilities. Both 32 bit and 64 bit versions are available. It looks like a complex program, but hey!, it's free. The only cost will be time.