Bureau of Economic Analysis -- The BEA is an excellent source for macroeconomic data, with a focus on national accounts - GDP and its components such as income, consumption, investment, and government expenditure. It also provides much data on employment and compensation by industry. Data are available at the national, state, and local levels, in annual, quarterly and (in some cases) monthly increments. Some industry-level data and balance-of-payments data are also available. See http://www.bea.gov/itable/ for direct access to the data.
Bureau of Labor Statistics (BLS) -- The BLS contains much data on employment, wages, and prices, at both the national and sub-national levels. See http://www.bls.gov/bls/proghome.htm for a topical breakdown of the BLS' data holdings, and see http://www.bls.gov/guide/geography/ for a summary of data availability by level of geography. Be warned that the website is not always easy to navigate.
Bureau of Transportation Statistics (BTS) -- The Bureau of Transportation Statistics is an extensive source for data collections and statistical information for various modes and aspects of transportation, from highway safety to airline performance and traffic to border crossings. The Transtats Database may be of particular use. The National Highway Traffic Safety Administration and the Office of Policy Information in the Federal Highway Adminstration are related sources for data and statistics on travel.
Census Bureau (U.S.) -- The Census Bureau gathers a dizzying amount of social, demographic, and economic information about the United States through various means. The Subject Index is a good starting point for browsing and searching through the Bureau's wealth of information. The Census Bureau's Business & Industry site provides a list of economic surveys conducted by the Census Bureau and the topics and geographic areas that each survey covers.
County Business Patterns (CBP) -- The County Business Patterns provide data for employment and establishments by industry, for counties, ZIP codes or Congressional districts. You can either query or download Business Patterns data.
Current Population Survey (CPS) -- The Current Population Survey is a joint project between the Bureau of Labor Statistics and the U.S. Census Bureau. The CPS is a monthly survey that collects basic socio-demographic information, labor force characteristics, and economic status. To access CPS data files, users can download the data from an FTP site or use various tools for creating tables from the microdata. Alternately, they can go to the National Bureau of Economic Research's CPS site or to IPUMS-CPS.
Datastream -- Datastream is a very comprehensive source for data on exchange rates, interest rates, prices, stocks, and various other macroeconomic and microeconomic data. It is available on workstations in Center for Digital Scholarship. Guides for Datastream are available via Stanford University and via Erasmus University. To use Datastream, please contact Dr. Robert O'Reilly.
Department of Energy Energy Information Administration (EIA) -- The EIA is a very extensive source for data on energy consumption in the United States, with both annual and monthly data available. The EIA also has a collection of "navigators" with additional data on various categories of energy, such as the Petroleum Navigator that includes national and state-level data on prices, production, and consumption. The EIA also has much international data available.
Economic Policy Uncertainty Index -- The Economic Policy Uncertainty Index project attempts to quantity economic uncertainty created by macroeconomic policy by coding media coverage, tax codes, and economic forecasts. The data are available in monthly increments
Economic Research Service of the U.S. Department of Agriculture -- ERS provides economic and other information and analysis on agriculture,, food consumption and access, international trade, and rural areas.
Federal Housing Finance Agency (FHFA) Housing Price Index -- The FHFA Housing Price Index (formerly the Office of Federal Housing Enterprise Oversight (OFHEO) Housing Price Index) is a quarterly index of prices for single-family houses. Data are available for the U.S. as a whole and for individual states and regions. Data are available from 1975 onwards, varying by geographic area and are part of a range of housing-related data available from the FHFA
Federal Reserve Board: Data Releases -- The Board of Governors of the Federal Reserve system publishes a series of data releases on monetary and financial indicators on topics such as household finances, interest rates, exchange rates, industrial production, and monetary aggregates. Data from the various releases can be queried and downloaded via the Data Download Program.
Federal Reserve Economic Data (FREDII) -- FRED II includes time-series data for variables such as GDP, interest rates, exchange rates, consumer prices, and banking. There also also add-ins available to access and use FRED data in Excel, R, R (again), Stata, and Stata (again). Most of the data are from the 1950's onwards, though some series extend back prior to WWII.
Federal Reserve Bank of Chicago National Activity Index (CFNAI) -- The CFNAI is, to quote the website, a "weighted average of 85 existing monthly indicators of national economic activity ... The 85 economic indicators that are included in the CFNAI are drawn from four broad categories of data: production and income; employment, unemployment, and hours; personal consumption and housing; and sales, orders, and inventories." Data from a precursor to the CFNAI are available at this site. The CFNAI is one of many data releases produced by the Chicago Fed. Note that each of the district banks within the Federal Reserve system collects data and constructs indices on conditions within its district as well.
Federal Reserve Bank of New York Center for Microeconomic Data -- The FRBNY's Center for Microeconomic Data publishes quarterly reports and data both on household debt/credit broken down by source (e.g. student loans, auto loans, real estate) and on consumer expectations. Note that each of the district banks within the Federal Reserve system collects data and constructs indices on conditions within its district as well.
Federal Reserve Bank of Philadelphia - Research and Data -- The Philadelphia Fed conducts research and collects data on economic conditions within its district, including state-level indices on current economic conditions and leading economic indicators. Note that each of the district banks within the Federal Reserve system collects data and constructs indices on conditions within its district as well.
Internal Revenue Service Tax Statistics -- This site from the IRS contains both reports and spreadsheets on various categories of taxes and income. Data are available for different types of tax forms and for taxes paid by individuals, by businesses, or by charitable organizations. Data are also available at various levels of geography, including states, counties, and ZIP codes. The statistics are generally published in various IRS publications and releases.
Monthly and Annual Retail Trade -- The Census Bureau measures economic activity in retail industries in terms of both sales and inventories. Data are available in both monthly and annual increments. Quarterly data on e-commerce are also available. The Census Bureau currently uses the NAICS system to classify industries. For older data using the SIC system, see the "Historical Releases"
National Agricultural Statistics Service of the U.S. Department of Agriculture (NASS) -- NASS is a good source for very detailed data on agricultural production and economics, including data from the Census of Agriculture
National Bureau of Economic Research -- In addition to its work on business cycles, the NBER has an eclectic data archive that covers topics such as cross-national technology adoption, manufacturing productivity, financial openness and exchange rate regimes, and economic policy uncertainty. Its data archive also covers topics such as labor markets, health economics, and population demographics.
National Science Foundation National Center for Science and Engineering Statistics (NCSES) -- The National Science Foundation collects much data on education and the sciences, including topics such as skill levels among the labor force, public and private expenditures on research and development, and public attitudes towards the sciences. The NSF provides various tools and interfaces for accessing both aggregated statistics and microdata from NSF surveys. There are also many statistical publications available. Statistics from older NSF data-collection programs are also available via the Industrial Research and Development Information System (IRIS).
The Panel Study of Income Dynamics -- The PSID is a longitudinal study of economic and demographic behavior among different social groups in the US.
Quandl -- Quandl is a data-aggregation site that provides access to roughly 7,000,000 indicators taken from multiple open, publicly-available sources such as government agencies (domestic and foreign) and international organizations. Note that Quandl classifies individual indicators as individual datasets. There are also tools to read datasets into various applications such as Excel and R and Stata
S&P/Case-Shiller Home Price Indices -- The Case-Shiller Housing Price Indices are another common measure of housing prices in the U.S. Indices are available for the U.S. as a whole and for 20 individual cities. For a review of how the Case-Shiller indices differ from those of the FHFA, see this review of the different measures.
Simply Analytics -- Simply Analytics (The Database Formerly Known As SimplyMap) is an Internet-based mapping application that enables users to develop interactive thematic maps and reports using thousands of demographic, business, and marketing data variables. Users can download data in spreadsheet-friendly formats and also use data with GIS software. Go here for various guides for using Simply Analytics. Simply Analytics is also available via Databases at Emory.
Social Explorer -- Social Explorer provides quick and easy access to current and historical census data and demographic information. Its contents include the entire U.S. Census from 1790 to 2010, annual updates from the American Community Survey, data on religious congregations for the United States for 2009, decennial religious congregation data for 1980-2010, economic data on businesses, crime data, health indicators, and carbon emissions data for 2002. Users can create reports and maps at various levels of geography, including counties, Census tracts, Census block groups, and ZIP codes, depending on data availability. Social Explorer is also available via Databases at Emory.
Statistical Abstract of the United States -- The Statistical Abstract contained a wealth of information on numerous socio-economic and demographic indicators for the United States. Historical data tables taken from the Statistical Abstract are available via the Internet Archive. While the Census Bureau has discontinued publication of the Statistical Abstract, the Abstract is now being published by ProQuest and is now available via Databases at Emory.
Wharton Research Data Services (WRDS) -- WRDS is an excellent source for data on both company financials (via COMPUSTAT) and stock prices (via CRSP). The university's WRDS subscription also provides access to data for measures of market volatility, balance sheets of financial institutions, and models of asset performance. Access to the university's WRDS subscription requires registration to request an account.