Data Science Laboratory System:
Buck Woody has a great series of posts where he runs through the setup and use of several different types of database systems as well as other data processing tools.
The last post in the series is at:
Buck Woody: Data Science Laboratory System
Which links back to the previous posts as well.
In past months I’ve copied Mr Woody’s idea and worked my way through various other database systems:
New SQL – Distributed SQL Database(VoltDB)
SQL Rob 