GDP and other macro data at regional level (NUTS2): The Rosés-Wolf database on regional GDP provides data on the economic development of European regions at the level of NUTS-2 regions for the years 1900 - 2015. It contains information on nominal GDP (in 1990 and 2011 PPP), population, area, and sector-level employment shares.

A list of classic data sources for "political economy students", i.e. sources for (mainly) financial data, by Benjamin Braun 

Interwar data for industrial production, quarterly bilateral trade data, and other high frequency data at the CEPR data depository

Modern trade data on the country-product level: The International Trade Centre's TradeMap (based on UN Comtrade data) is my preferred source. Other common databanks: WITS and CEPII with plenty of standard gravity variables. Another source is the well kept database from the Atlas of Economic Complexity.

Augmented Human Development Index: The database includes estimates of the AHDI and its main dimensions for up to 162 countries between 1870 and 2020. 

Historical migration data for many countries from the 19th century to the mid 1920s: Wilcox (1929) is a good source.

German economic history data: GESIS is a very deep database. Sign up freely to use it.

Bilateral trade data from the early 19th century to 1938 has been compiled by Beatrice Dedinger and collaborators, called the RICardo project.

Countries, or more precisely, polities change their borders over time. The GeoPolHist database helps finding out “what is a country?” and “how many countries are there in the world?”

Concordance tables between different classifications of international trade by COMTRADE.