For autoregressive models and multivariate autoregressive models
look in the system identification toolbox.
Also see the ARfit web page.
For Nonlinear Dynamics look at the Wuppertal web page.
Check out Netlab for supervised and unsupervised learning with neural networks and other models using Bayesian methods.
For Linear Dynamical Systems/Kalman filters look at Sam Roweis' web page or Zoubin Ghahramani's or Kevin Murphy's .
For Hidden Markov Models look at Zoubin
Ghahramani's web page.
For Wavelets download Wavelab .
For Independent Component Analysis download the ICA toolbox .