Data Sources
A great place to start for international country-level and micro data sets is The World Bank
http://www.worldbank.org/
OECD data
http://www.oecd.org/
Inequality
World Income Inequality Database (WIID): https://www.wider.unu.edu/project/wiid-world-income-inequality-database
Long term changes in social, economic and political systems
http://gsociology.icaap.org/
Cities
Vernon Henderson's page has some useful data: http://www.econ.brown.edu/Faculty/henderson/
Corruption
Transparency International's Corruption Perception Index: https://www.transparency.org/research/cpi/overview
Conflict, Terrorism and War
Peace Research Institute of Oslo has collected conflict data: https://www.prio.org/Data/Armed-Conflict/
University of Central Florida has collected some info: http://guides.ucf.edu/war/wardata
Trade and Tariff data
World Trade Organization: https://www.wto.org/english/res_e/statis_e/statis_e.htm
Commodity Prices
Intentional Monetary Fund (also has other data sets) http://www.imf.org/external/np/res/commod/index.aspx
Natural Resources (e.g. water wetlands etc.)
World Resources Institute: http://www.wri.org/
Mineral resources in U.S. and around the world
U.S. Geological Survey: https://mrdata.usgs.gov/
Energy data for U.S. and around the world
U.S. Energy Information Administration: https://www.eia.gov/