Collection and analysis methods differ from one government agency to another, so similarly labeled data may not actually be equivalent. This can especially be a problem when trying to cobble together long time series from multiple sources.
Consult the source's documentation, looking for anything about "methodology." The Bureau of Labor Statistics (BLS) publishes a Handbook of Methods detailing their statistical concepts, definitions, sources, methods, and procedures.
ICPSR The Inter-university Consortium for Political and Social Research (ICPSR) maintains and provides access to thousands of social science datasets for research and instruction. This is a good first place to start when looking for social science data for secondary analysis. (free web access)
Bureau of Economic Analysis From the U.S. Department of Commerce, the Bureau of Economic Analysis (BEA) provides timely, relevant, and accurate economic accounts data for the U.S. economy. A good source for research, methodology, and statistics. (free web access)
Economic Report of the President Annual report written by the chairman of the Council of Economic Advisors, Provides an overview of the nation's economic progress using narrative essays and extensive data appendices.
FRED (Federal Reserve Economic Data) From the St. Louis Federal Reserve, it includes FRED, with 40,000 economic time series; ALFRED with archival (unrevised) time series; FRASER, with historical US Federal Government economic publications; and several other components. (free web access)
UN Data Includes major UN databases and those of several related IGO's. (free web access)
World Development Indicators 1960-present. Updated quarterly, an extensive collection of data about global development. Provides more than 550 times series covering demographic, social, economic, financial, natural resources, and environmental topics for more than 200 countries and 18 country groups. (free web access)
International Debt Statistics 1970-present. Updated annually. Provides a comprehensive view of prospects of the global economy along with the implications for developing countries' external finance. Presents detailed data for 128 countries that report public and publicly-guaranteed debt under the World Bank Debtor Reporting System. Focuses on financial flows, trends in external debt, and other major financial indicators for developing and advanced economies. (free web access)
Investors can find a quick view of the markets. A market snapshot appears at the top of the page showing U.S., European and Asian market data. Indexes from the Americas, Europe, Africa, Middle East and Asia-Pacific regions can be readily accessed. Data for certain futures, commodities, bonds, and currencies is also available. By selecting "Economic Calendar" under the Market Data heading, investors can view current and upcoming economic announcements.
The SEC Electronic Data Gathering, Analysis and Retrieval (EDGAR) database provides free public access to corporate information including registration statements, prospectuses, and periodic reports filed on Forms 10-K and 10-Q. Investors can also find information on recent corporate events including preliminary earnings announcements.
Offers investors real-time quotes, financial news, and international market data. Allows users to find current quotes, research historical data, select technical analysis techniques, and compare different trading instruments. Also available are company-specific information regarding annual and quarterly financials, key statistics and rations, etc.