• Data.gov - U.S. Federal Executive Branch datasets; Raw Data Catalog provides download of machine readable, platform-independent data sets while the Tools Catalog provides hyperlinks to tools that allow you to mine datasets.
• Fedstats searches across all US government sites for statistics
• Bureau of Economic Analysis - national and state/local level; data holdings focus on national accounts and their components: GDP, consumption expenditure, personal income, investment, and international transactions. Also data on topics such as employment, inventories, auto sales, and transfer payments
• Bureau of Labor Statistics - data on employment, unemployment, wages, and prices, at both the national and sub-national levels also there - the Statistical Sites on the World Wide Web

• Census Bureau Economic Information - Economic census and economic indicators

• Economic Report of the President -Provides access to: 1) current and foreseeable trends and annual numeric goals concerning topics such as employment, unemployment, production, real income, and the labor force 2) annual numeric goals and 3) a program for carrying out program objectives. 

• Population Reference Bureau
• County Business Patterns county-level data on employees and establishments in particular industries.

Specialized

• Energy Information Administration - energy statistics including data on nuclear energy, oil, electricity, and gas prices; some international data
  
• Internal Revenue Service Tax Statistics - reports and spreadsheets on various categories of taxes and income.
• IRIS (Survey of Industry Research and Development) - R&D expenditures and trends in industries all across the U.S (contains on pre-SIC and SIC code data = data up until 1999, more current data are being developed)
• Federal Housing Finance Agency Housing Price Index - a quarterly index of prices for single-family houses since 1975; date for U.S., individual states, and regions.
• Trading Economics -  countries, indicators, calendar, forecasts and solutions
  

ALFRED (ArchivaL Federal Reserve Economic Data)

Chicago Fed National Activity Index - a "weighted average of 85 existing monthly indicators of national economic activity ... 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.

Fed In Print - An Index to Federal Reserve Economic Research.

Federal Reserve Economic Data (FRED II) - time-series data for variables such as monetary aggregates, interest rates, exchange rates, banking, GDP, and consumer prices; data mostly from the 1950's onwards, some extend back prior to WWII

Federal Reserve Banks
Financial data such as interest and exchange rates, money stocks and components, debt measures, bank assets and liabilities, official reserves, household assets and liabilities, and corporate debt.