NBER Data
National Bureau of Economic Research NBER's collection of files with authors or sources listed to the right of the link are available from the NBER or are otherwise associated with the NBER research program.
Economic data : FRED
Contains U.S. economic time series. Data can be downloaded in in Microsoft Excel and text formats.
EconoMagic.com
Lots of long time series, especially from US government agencies (Federal Reserve Board, Bureau of Labor Statistics, et
ICPSR Inter-university Consortium for Political and Social Research