Where can I find macroeconomic data (GDP, CPI, unemployment, etc.) for countries other than the United States?
Bloomberg is an excellent source of international macroeconomic data. ECST (World Economic Statistics) will focus on macroeconomic data.
For deep historical data, both Datastream and CEIC Data collect data from individual countries (central banks and other data-gathering agencies) as well as from third-party data providers and allow you to download decades of data into Excel.