This wiki page aims to build a comprehensive list of economics and finance data sources around the world. It is part of the Stubborn Mule Wiki. If you would like to help out, please send me a message to @seancarmody and I will give you access. You'll need to create a (free) pbworks account first.
The following sites are exceptional in some way, either in terms of the breadth of the data or the form in which the data is made available.
This is an extraordinary resourse. With over 20,000 time series, the data is made readily accessible either simply via a web browser or through programmatic interfaces. For example, the R module quantmod makes it easy to import and analyse FRED data.
Who would have thought that spies could be so helpful? As well as providing detailed profiles of individual counties, much of the data is available is world listings. For example, here is Gross Domestic Product (GDP) around the world. Unfortunately, these listings do not have simple URLs in CSV format.
And, now here is the rest of the list (the sites above are listed again within the appropriate category). Like any good wiki, it is a work in progress and there will be plenty of good sites missing.
OECD Factbook eXplorer - graphical data explorer inspired by Gapminder
United Nations Population Information Network
Penn World Table - power parity and national income accounts for 1950-2004, expressed in to international prices
FAOSTAT - data on food and agriculture from the Food and Agriculture Organisation (FAO) of the United Nations.
Bureau of Labor and Statistics
Office of Budget and Management - data on US budget receipts and outlays in Excel format
Unfortunately most Australia online data is in Excel format rather than CSV format.
Australian Bureau of Statistics (ABS) - data is all in Excel format
Reserve Bank of Australia (RBA) Statistics - data is all in Excel format
Australian Office of Financial Management (AOFM) - data is all in Excel format. AOFM also provide tender data.
Insolvency and Trustee Service Australia - data is all in Excel format
Australian Automobile Association: Petrol Prices - state by state data in Excel format.
I need to dig through this A-Z of Australian Government sites to add to this list.
Bank of England Statistical Interactive Database
Yahoo Finance - historical data available in CSV format. Accessible via quantmod in R.
Google Finance - most historical data is available in CSV format (there are some curious omissions). Accessible via quantmod in R.
OANDA.com currency data - historical data available in CSV format. Accessible via quantmod in R.