A method to estimate linear regression coefficients when some data is missing

Hey,
Is there a method to estimate linear regression coefficients when some data is missing, without deleting the records are missing? I know that This publication (robins, 1994) deals with it. Is there a software that making the process? (Excuse me for my English)

thanks for your help,
Michael

Please provide an example, including, but not limited to your data and your efforts.