FracStats does R/S analysis and comparison to a normal distribution. It uses a time series, with or without difference processing on the input data. Also does multifractal analysis (f(alpha) curves) on time series or planar data, using either the method of moments or histogram method. Several data sets are supplied, but the main use is to paste in your own data to explore.
July 2012: Fixed pasting-my-data to work again, following Oracle/Java deciding that was a security risk. Now uses signed jars and JWS to bypass new security feature.