PostgreSQL has a very nice way to call R from within a user function. I may sound uncharitable but I wonder if this isn't on purpose to encourage Windows users to use SSAS....
I've used PL/R, and most of the other industrial strength (i.e. commercial) databases manage to embed access to R at the engine level. With PG + PL/R it's accomplished because PG supports used defined functions using C/C++, and PL/R actually is in C, so while the language attribute is "R", it's really C.
One of the MS sites says this, however:
"CLR functions can be used to access native (unmanaged) code, such as code written in C or C++, via the use of PInvoke from managed code"
So, one could write a PL/R style hook for SQL Server?? Seems odd that no one has. (The same applies to DB2, by the way.) The "you can't touch Open Source without giving away *your* program" baloney hasn't stopped Oracle or SAP.