That depends on the sport and what kind of data you want. For baseball game-data, look no further than retrosheet.org. Most other sports present more of a challenge. You're going to have to learn how to scrape websites to get the more useful data.
Thank you! Alot of what you are talking about I have spoken with my father. He can can copy and paste past results from a website such as covers.com and put into word and write a program to scrap or load it into a data base. He did this for horse racing handicapping. Is that what you were referring to?
That's something you have to work out on your own. Regression analysis is your friend. It's going to vary from stat to stat. Also, you probably want to think more in terms of how relevant is data from last game and how relevant is data from 30 games ago, etc., rather than a cutoff point between relevant and irrelevant.
Good point.
If by "something canned" you mean commercial handicapping software, I wouldn't recommend it. If you mean database and statistical software packages, Excel, R, Stata, MySQL are all valuable tools.
Personally, I use Visual Studio (
vb.net) and a MySQL database, but just about any programming environment, database combo will work.