Federal Reserve Economic Data (FRED) is an online database consisting of hundreds of thousands of economic data time series from scores of national, international, public, and private sources. FRED collects and provides approx. 816,000 US and international time series from 108 sources. You can search for series using keywords, or browse using tags or categories. FRED has data on banking, finance, employment, price indices, and more, and also provides data sets from several influential academic publications. A more comprehensive description of it's development and history can be found on the website.
The FRED website provides a useful help page on finding, using, and interpreting data. There are several ways to directly download data in the program of your choice using, for instance: