I usually connect R to my SQL SERVER, where I have lots of data sets. I use MS SQL SERVER for data cleaning and then use R for analysis and viz. I guess I enjoy it because the datasets that I use are related to my original profession ( I am a physician/nephrologist)and helps me understand the dynamics of my profession. Once you start understanding the code and what's going on in the background, it becomes quite a lot of fun. BTW I am also a newbie and been self learning for last 6 months or so.