Hal Daume has implemented a lot of machine learning algorithms in OCaml and Haskell. Details see my answer in Machine learning in OCaml or Haskell?
As side from the Numerical Computing in F# book chapter on MSDN, I'd also like to recommend my Wrapper for Weka, WekaSharper. It allows you to call machine learning algorithms in Weka using an F#-friendly interface.
I wrote an article, Why F# is the language for data mining, which reflects my thinking when I finished writing a alpha/prototype-like data mining package in F#. libml is available online. But the code was written about two years ago when I started to use F#, and I didn't have time to maintain it since then.