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.