To download data sets for Mathematica and Matlab: Create a new directory in your account, as you will be downloading about 100 files. Then right click here to download Matlab data sets and here to download Mathematica data sets to your new directory. Now type "unzip Matlab.zip" or "unzip Mthma.zip" to decompress this file into the individual data files. They are now ready for importing into Matlab or Mathematica.
Note: these instructions work for downloading for Unix or PC platforms. Mac users: go to www.laylinalgebra.com. Go to Technology, and download the data files for Macs. You'll have to decompress them using the utilities on your Mac.