Some excellent data sources are listed below.
Bureau of Labor Statistics: http://www.bls.gov//
Federal Reserve Bank of St. Louis: http://research.stlouisfed.org/fred2/
Board of Governors of the Federal Reserve System: http://www.federalreserve.gov/releases/
National Bureau of Economic Research: http://www.nber.org/
US Census: http://www.census.gov/econ/www/
Current Population Survey (CPS): http://www.bls.census.gov/cps/cpsmain.htm
Survey of Income and Program Participation (SIPP): http://www.sipp.census.gov/sipp//
Panel Study of Income Dynamics (PSID): http://psidonline.isr.umich.edu/
U.S. Bureau of Economic Analysis: http://www.bea.doc.gov/
CompuStat: http://www.compustat.com/www/
International Financial Statistics (IFS): http://ifs.apdi.net/imf/
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Center for International Comparisons at the University of Pennsylvania http://pwt.econ.upenn.edu/
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