American Fact Finder
The American FactFinder is an extensive source for census statistics from the U.S. Census Bureau. Users can create data tables from the Decennial Census (2000 and 2010), the American Community Survey (2000-present), and the Economic Census (1997, 2002, 2007, and 2012) and download those tables into spreadsheet files. See http://factfinder2.census.gov/faces/nav/jsf/pages/what_we_provide.xhtml for a list of available data collections.
Current Population Survey (CPS)
The Current Population Survey, a joint project between the Bureau of Labor Statistics and the U.S. Census Bureau, is a monthly survey that collects basic socio-demographic information and labor force characteristics along with various supplemental studies on matters such as voter registration, internet usage, school enrollment, and fertility. To access CPS data files, users can go through the Data Ferrett. Alternately, they can go to the National Bureau of Economic Research's CPS site here or to the IPUMS CPS site here.
Integrated Public Use Microdata Series (IPUMS)
The IPUMS project at the University of Minnesota is an excellent source for historical U.S. Census data, in the form of collections such as microdata samples from the Decennial Census for 1850 onwards and tabulated Census data for various levels of geography for 1790 onwards. The database also hosts a growing collection of microdata census files from foreign countries that can be accessed at https://international.ipums.org/international/.
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, 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.
Bureau of Justice Statistics
The BJS provides a wealth of crime and criminal justice data compiled by the U.S. government and links to available data on other government websites.
National Archive of Criminal Justice Data (NACJD)
The NACJD at the ICPSR contains a wealth of data relevant for scholars interested in crime/criminology. The data cover topics such as offical crime statistics (at the national and state levels), surveys on attitudes towards crime, surveys of crime victims, and the criminal justice system.
Bureau of Economic Analysis (BEA)
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.
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.
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.
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, Stata (again), and R. Most of the data are from the 1950's onwards, though some series extend back prior to WWII.
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.
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.
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.
Behavioral Risk Factor Surveillance System (BRFSS)
The BRFSS was established by the Centers for Disease Control to provide data on personal behaviors that present health risks (e.g. alcohol and tobacco consumption, exercise patterns, dietary issues). The site provides both time-series data at the national and state levels for various categories of "behavioral risk" and also microdata files from which the national and state estimates are produced.
Health Indicators Warehouse
The Heath Indicators Warehouse was a very useful catalog of of data on a variety of health-related topics such as maternal health, mortality, risk behaviors, and health infrastructure, with data available at national, state, and/or county levels depending on the indicator. The site is no longer available, but you can access its list of data sources and its lists of indicators via the Internet Archive.
National Center for Health Statistics (NCHS)
The NCHS, which is part of the CDC, contains much data on various health indicators at both national and state levels. The Data Warehouse may be of particular interest, as it provides access to public-use microdata from surveys such as the National Health Interview Survey. The National Vital Statistics System may also be of interest for data and historical reports on births, deaths, and marriages.
Social Science Electronic Data Library (SSEDL)
The Social Science Electronic Data Library is an archive of over 300 datasets covering a variety of topic areas, including Adolescent Pregnancy, Aging, AIDS/STD's, the American Family, Disability in the US, and Maternal Drug Abuse. The archive is well-indexed and allows variable-level searches. This resource is also available via Databases at Emory. Many of the older studies are also available on CD-ROM's in the Data Center.