Perl

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Perl is a dynamic programming language that is similar to C and quite like what you'll find in R, if you've ever used that statistical program.  To begin, you need to install a distribution.  Linux machines typically come with it pre-installed.  For other users (i.e. Windows or Mac), get a free copy of ActivePerl.  The other thing you'll need is something to write and compile your files.  On Windows, you can simply use Notepad, save your files as *.pl and then run them from the MS-DOS prompt by typing the command perl filename.pl.  There are a number of online intros, FAQs, and tutorials, as well as printed books (like the Perl Cookbook).  Perl follows methods similar to most other programming languages.  For economists, Perl could be helpful for the following topics:

Parsing
Hashing
Web crawling - there's also a good web FAQ page and a video I made on YouTube with an alternative

lwp-download http://www.server.com/folder/file.xls
wget -r -l1 --no-parent -A.xls http://www.server.com/folder

Data management