Macroeconomic Data
GDP
Gross Private Domestic Investment
Total Economy Database (Conference Board)
Total Economy Database (University of Groningen)
Measures of the health of the economy
Capacity Utilization of total industry (82% is a magic number)
Labor Markets
Monetary Factors
Cleveland Fed on Fed's Monetary Policy Stance and the Bailout
Great Sources
Knoema.com World Data Atlas
Penn World Tables - Comparisons of the economies of the world's nations
EuroStat (European data)
Brookings Institution Macroeconomic Data
Inflation around the world (Cleveland Fed database)
The Economic Report of the President
Bureau of Economic Analysis (BEA, part of the US Department of Commerce)
US Statistical Abstract (from the US Census Bureau)
Economy Track (from the Economic Policy Institute think tank)