Recommended starting places:

• FedSTATS (statistics from over 70 government agencies) 
• Economic Statistics Briefing Room (Current economic indicators) 
• Statistical Sources in Print and on the WWW  (Michigan State University)
• Major U.S. Government Statistical Agencies (Vanderbilt University)
• Statistical Sites (U.S. Department of Labor)
• Statistical Resources on the Web  (excellent site from the University of Michigan)