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Economist: Guide to Economic Indicators (Book)
Descriptions and sources for key economic indicators (newer edition on the way).
Guide to economic indicators (Book)
U.S. economic indicators. Also available as an e-Book (available through Catalyst)

BEA International Economics Accounts
Information spanning goods and services (including the balance of payments and the balance of trade), investment income, government and private financial flows, U.S. international assets and liabilities, and multinational investment.
European Central Bank: Statistical Database
Financial indicators from Europe.
UNECE Statistical Database
From the United Nations Economic Commission for Europe. A complex but thorough tool excellent for comparative data on a wide array of indicators beyond financial data.
Note: Be sure to check out the build-able Country Overview section.
United Nations Statistics Division: Economics
World Bank: Data
Statistics from the World Bank spanning multiple indicators. Searchable and comparable by region or topic.

Economic Census
Business statistics from the 2007 Economic Census.
Bureau of Economic Analysis
National, regional, and industry statistics from the U.S. Dept. of Commerce.
Archival Federal Reserve Economic Data
Historical data from the St. Louis Federal Reserve.
USA Spending.gov
Tracks the budgets and spending of government agencies and top beneficiaries.