As more government and other agencies move "online", some actually make their data publicly available. Adi Gadwale, one of my dedicated ex-students, sent a note about a new neat data repository made publicly available by the UN called UNdata. You can read more about it in the UN News bulletin or go directly to repository at http://data.un.org
The interface is definitely easy to navigate. Lots of time series for the different countries on many types of measurements. This is a good source of data that can be used to supplement other existing datasets (like one would use US census data to supplement demographic information).
Another interesting data repository is TRAC. It's mission is to obtain and provide all information that should be public by the Freedom of Information Act. It has data on many US agencies. Some data are free for download, but to get access to all the neat stuff you (or your institution) need a subscription.