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.
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 (FRED II)
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, Stata, and R. Most of the data are from the 1950's onwards, though some series extend back prior to WWII.
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.