data.census.gov provides free and relatively easy access to 1990 and 2000 census data from block level to national level. Census data is also available in a number of other formats and products, including Geolytics CDs (primarily available in the SAND-Central lab), Social Explorer, and SimplyMap. Files for use in statistical packages can also be downloaded from ICPSR.
FedStats provides a topic listing to statistics and data from federal agencies
Foreign Government Data Sources at the library's government documents website provides a comprehensive list of sources of foreign government data