FRED from the St. Louis Federal Reserve is a great starting point for finding economic indicators. Most economic indicators are produced by government agencies and FRED aggregates them into one search with links back to the originating agency. For example, in the U.S. the Bureau of Labor Statistics releases inflation measures such as the Consumer Price Index (CPI), The Bureau of Economic Analysis has the GDP data, and The Census covers e-commerce.
The Business and Economics Portfolio from The Conference Board has data such as Consumer Confidence Survey and Composite Indexes of Leading, Coincident, and Lagging Indicators. ISM provides Semiannual Economic Forecast using the CPI, PPI, and productivity data. Databases, such as CEIC, Workspace, and Bloomberg, allow you to find all this data in one place.