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.
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.
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.
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 (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 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.
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".
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.
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.