Eurostat publishes technical guidelines and manuals. These are useful if you need to know precisely how certain data are defined (or if you suffer from insomnia). There are no published guidelines for the use of the website, but finding data is relatively straighforward.
The OECD publishes statistics for OECD countries and selected non-member countries. Topics include demographics, health, education, and finance.
The OECD presents its data on different websites. The most important ones:
You can consult the User guides for OECD Stats.
The World Bank publishes a large number of data series for countries around the world, with a focus on development.
The third-party applications listed here make use of (access to) Worldbank data. For example, there are applications that let you import worldbank data series directly into Stata, Excel, or R.
The international Monetary Fund publishes a large number of financial and economic data series for countries around the world. Data can be downloaded in bulk. You can also visualize data on the website, and export the resulting graphs for use in your paper.