I am attending a Data Mining class here in London and hopefully I am quite interested in the field and I like it a lot.
Since I started my own research on the topic too, and I have tons of commercial data in the databases I administer for playing around, I found a very nice, free and open source tool (Can it get any better?) for the job, WEKA.
(Waikato Environment for Knowledge Analysis)
One of the nice things of the software is that it uses JDBC (Java Database Connectivity), so you can connect to any database that supplies you with a JDBC driver. Also there is a JDBC to ODBC bridge driver, in order to connect to ODBC supported databases. So to sum things up, you can connect to almost every decent database management system.
Anyway, in theory it works really well, but there is a grey zone on how to practically connect to a database when using WEKA.