Learn some linear algebra. Literally every how'd-they-do-that-technique from OCR to PageRank is based on putting data in to a matrix and extracting some eigenvectors.

I took LA in college, but my professor was no where near as good and on topic in relation to computer algorithms as this guy: http://ocw.mit.edu/OcwWeb/Mathematics/18-06Spring-2005/Cours...

Oh, check out R. There are a lot of free papers and example code showing say, how principal component analysis on a dataset of migratory geese can be used to explain so and so, along with generating some pretty pictures.

It's a really nice bit of OSS!

"Programming Collective Intelligence: Building Smart Web 2.0 Applications" is worth checking out in Borders to get a sense if it's gobbledegook amazon link: http://bit.ly/5JlRz7

I may have mislead you. I occasionally refer to information extraction (through nlp) as data mining. It's a bad habit, but data mining just sounds cooler.