New versions of SAS (9.2) procedures GENMOD, LIFEREG, and PHREG enable users to use Bayesian approach for estimating model parameters. The computations are done with McMC methods. There is also a new experimental procedure MCMC. See more here. I wonder how fast these procedures are, since SAS is known to be fast and very efficient with big datasets, but see also one of my previous posts on PROC MIXED vs lmer().