List of interesting statistics web site, blogs, etc.
Data sources:
www.econstats.com - a range of mainly macroeconomics data series for a number of countries, most extensive for the USA.
http://data.worldbank.org/ - the World Bank's extensive data, focusing particularly on developing countries.
http://www.ons.gov.uk/ons/index.html - the UK Office for National Statistics site. Still the most infuriating source of data, even after its recent re-vamp (2011). There's lots of data here but good luck in looking for it!
http://www.bankofengland.co.uk/statistics/index.htm - the Bank of England's data, covering monetary variables such as interest rates, bond yields, etc.
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