Presentation on macro data sources.
StatBank: The CSO’s main database.
Irish Housing Statistics from the Dept. of the Environment.
National Account Data for EU Countries: AMECO Database.
Cross-country and and cross-sector data for Europe: The EU KLEMS Project.
US National Accounts data from the Bureau of Economic Analysis.
US macro and financial data (and some international data) from the St. Louis Fed’s FRED. Good for charts.
IMF World Economic Outlook database
Cross-Country PPP-comparable data from the Penn World Table.
US financial data from the Federal Reserve Board.
The ECB’s Statistical Data Warehouse.
US stock market data from Robert Shiller.
Ken French‘s data on returns for various types of stock portfolios.
Data from the World Bank on health, development, finance and other things.
Developmentdata.org: A fantastic collection of all sorts of cross-country information and other development data.