Ever needed to find a function to fit to some experimental data? fityk provides an easy way to do this. This is a GUI based application that will fit analytic functions to data using a variety of different optimization methods. fityk has many pre-defined functions, including peak shaped functions (including Gaussians) as well as polynomials. You can even define your own functions.
An alternative is to write your own software using CERN's MINUIT function minimization library, for example, however this would be much more time-consuming (although in some situations this might be the best option).
fityk is available for Mac OS X, Linux and Windows. And it's free!