One of the most popular languages in the Data Science Paradigm is the R language, there are plenty of resources and online classes being offered with respect to the R language. Once of the main advantages with the R language is that it is open source and can be downloaded on multiple platforms such as windows/Mac/Linux, also there is a very popular IDE for R called the R-Studio. SQL Server has been expanding to get into different domains one of them now being is Data Science. in SQL Sever 2016 there are lot more integration promised between R and SQL Server. In the mean time there are ways to integrate between R and SQL Server, here is a blog article on Simple talk by SQL Server Expert Feodor Georgiev, the article is titled: Making Data Analytics Simpler: SQL Server and R.
The article also provides a brief overview of the R language.