This depends on the type of data you are trying to retrieve.
Equity and Equity Index data is available in Eikon (available on-campus only) and Yahoo! Finance. Eikon also contains historical, downloadable data on commodities, currencies, country funds, macroeconomic data, and more for countries worldwide.
Historical corporate financial statement data is available in many databases. Mergent Online provides financial statements for U.S. and international businesses. Worldscope and Compustat (available via WRDS) provide company financials (must be used in the library).