I completed Andrew Ng's Machine Learning course on Coursera over this summer and thoroughly recommend it. The course is free unless you pay for the optional cer

I completed Andrew Ng's Machine Learning course on Coursera over this summer and thoroughly recommend it. The course is free unless you pay for the optional certificate. Andrew's course makes extensive use of GNU Octave which is also free (you can use Matlab), but the material is easily transferable to other environments. Andrew spends a lot of time explaining how and why the algorithms work, so you are fully prepared when it comes to implementing them for the assignments, rather than just showing you how to call a method or use a wizard. This course will help you understand the mathematical principles behind the ML techniques that are covered, which I found particularly helpful.