The biggest change to CmdStan was the documentation. There were a lot of mistakes in v2.4.0 that were corrected with this version.

Click the green link to cmdstan-2.5.0.tar.gz to download CmdStan with Stan and the example-models packaged together.

For the updates to Stan, the release notes are below.

v2.5.0 (20 October 2014)

New Features

ordinary differential equation solver, implemented by coupling
the user-specified system with its sensitivities (#771)
add reject() statement for user-defined rejections/exceptions (#458)
new num_elements() functions that applies to all containers (#1026)
added is_nan() and is_inf() function (#592)
nested reverse-mode autodiff, primarily for ode solver (#1031)
added get_lp() function to remove any need for bar lp__ (#470)
new functions cbind() and rbind() like those in R (#787)
added modulus function in a way tht is consistent with integer
division across platforms (#577)
exposed pareto_type_2_rng (#580)
added Frechet distribution and multi_gp_cholesky distribution
(thanks to Alexey Stukalov for both)

removed Eigen code insertion for numeric traits and replaced
with order-independent metaprogram (#1065)
cleaned up error messages to provide clearer error context
and more informative messages (#640)
extensive tests for higher order autodiff in densities (#823)
added context factory
deprecated lkj_cov density (#865)
trying again with informational/rejection message (#223)
more code moved from interfaces into Stan common libraries,
including a var_context factory for configuration
moved example models to own repo (stan-dev/example-models) and
included as submodule for stan-dev/stan (#314)
added per-iteration interrupt handler to BFGS optimizer (#768)
worked around unused function warnings from gcc (#796)
fixed error messages in vector to array conversion (#579, thanks
Kevin S. Van Horn)
fixed gp-fit.stan example to be as efficient as manual
version (#782)
update to Eigen version 3.2.2 (#1087)

pull out testing into Python script for developers to simplify
makes
libstan dependencies handled properly and regenerate
dependencies, including working around bug in GNU
make 3.8.1 (#1058, #1061, #1062)

deal with covariant return structure in functions (allows
data-only variables to alternate with parameter version); involved
adding new traits metaprograms promote_scalar and
promote_scalar_type (#849)
fixed error message on check_nonzero_size (#1066)
fix arg config printing after random seed generation (#1049)
logical conjunction and disjunction operators short circuit (#593)
clean up parser bug preventing variables starting with reserved
names (#866)
fma() function calls underlying platform fma (#667)
remove upper bound on number of function arguments (#867)
cleaned up code to remove compiler warnings (#1034)
share likely() and unlikely() macros to avoid redundancy warnings (#1002)
complete review of function library for NaN behavior and consistency
of calls for double and autodiff values, with extensive
documentation and extensive new unit tests for this and other,
ehances NaN testing in built-in test functions (several dozen issues
in the #800 to #902 range)
fixing Eigen assert bugs with NO_DEBUG in tests (#904)
fix to makefile to allow builds in g++ 4.4 (thanks to Ewan Dunbar)
fix precedence of exponentiation in language (#835)
allow size zero inputs in data and initialization (#683)

new chapter on differential equation solver
new sections on default priors for regression coefficients and
scales, including hierarchical and multivariate based on
full Cholesky parameterization
new part on algorithms, which chapters on HMC/NUTS, optimization,
and diagnostics
new chapter on models with latent discrete parameters
using latexmk through make for LaTeX compilation
changed page numbers to beg contiguous throughout so page numbers
match PDF viewer page number
all user-supplied corrections applied from next-manual issue
section on identifiability with priors, including discussion of K-1
parameterization of softmax and IRT
new section on convergence monitoring
extensive corrections from Andrew Gelman on regression models
and notation
added discussion of hurdle model in zero inflation section
update built-in function doc to clarify several behaviors (#1025)