"I need a kind of data not addressed by this FAQ. Where do I start?"

answer:

The Statistical Abstract of the United States (online) is a great way to start gathering data on almost any topic. It pulls in tables from a variety of government and industry data collection agencies. Basic data is supplied in the book; users can go back to the original agency's data for more detail.

Online, FedStats provides statistical data generated by many different U.S. government agencies.