Personally, I am loading the data I play with on a postgreSQL database on my laptop (if you have a mac and want to do that quickly, you may want to check out the link I just submitted http://en.blog.guylhem.net/post/50310070182/running-postgres... )
You can do crazy things with the current hardware specs. Like loading all the data the world bank offers you to download, index it and use it for regressions (I do). In 2013 you only need a laptop for that.
Most data is not big. Big data is "big" like in a gold rush, where the ones selling the tools are making the biggest profits.
EDIT: Thanks for the postgresapp.com link! It is a little bit diffent- here I wanted to use the very same sources as Apple, without adding too much cruft (like a UI to start/stop the daemon as I had seen in other packages). I also wanted to see by myself how hard it was to 'make it work' with OSX (quite easy besides the missing AEP.make and the logfile error). It was basically an experiment in recompiling from the sources given by apple opensource website, while staying as close to the OSX spirit as possible (ex: keeping the same user group, using dscl, using launchdaemon to start the daemon automatically during the boot sequence like for Apache)
That being said, you're right, for most people postgresapp.com will be a simpler and faster way to run a postgresql server :-)