Links

US Data

US Bureau of Economic Analysis - source for national income accounts and balance of payements statistics
US Bureau of Labor Statistics - source for the consumer price index
The Conference Board - source of the consumer confidence index
Federal Reserve Data - including interest rates
STAT-USA - comprehensive library of US government statistics
Statistical Abstract of the United States - you never know, it might have what you're looking for
Current Population Survey - not used much by macroeconomists, but still a good data source

International Data

Oz Forex Foreign Exchange - near real time quotes from an Australian firm
INO.com - another source of exchange rate quotes
Pacific Exchange Rate Service - historical data archived by the UBC Business School
Penn World Tables 6.2 - source for real exchange rates and international price comparisons
IMF data - some free data, more available for a fee
National Statistics of Taiwan - often hard to find elsewhere
National Statistical Office of Korea - I use Korean data often
Japanese Statistics Bureau
National Bureay of Statistics of China
Hong Kong Association of Banks - mostly financial data
Eurostat - Statistics from the European Union
United Nations Databases

Kerk Phillips