A DIY toolkit would be nice, that gives you various peaces that it explains and then let's you fit them together. Of course without a million dependencies, clean-room type display of concept. Anybody bored enough to build this?

Something like the Ruby Koans for machine learning? I like that idea.

Try Andrew Ng's ML Coursera class. The programming is in Octave/Matlab which means you've got all the necessary visualizations and math libraries ready to go.