U.S. Bureau of Labor Statistics  The Bureau of Labor Statistics is the principal fact-finding agency for the Federal Government in the field of labor economics and statistics.

Local Area Unemployment Statistics  Monthly estimates of total employment and unemployment for states, metropolitan areas, counties, larger cities and towns.

Union Stats  Union membership data compiled from the Current Population Survey. National, state, and metro area estimates.

General

National Bureau of Economic Research  Excellent source of historical economic and trade data, as well as some series on health care and vital statistics.

Federal Reserve Board  Links to current and historical statistical series, reports and data associated with FRB surveys such as the Survey of Consumer Finances and Survey of Small Business Finances.

Population-specific

State and Local Area Personal Income  State, county, and MSA personal income, including per capita income back to 1969. Produced by the Bureau of Economic Analysis.

Small Area Income and Poverty Estimates  Estimates on number of families and children living in poverty, median household incomes. Most estimates are available for states, counties, and school districts. Produced by the U.S. Census Bureau.

Consumer behavior

Consumer Expenditure Survey    Survey conducted by the Census Bureau on the buying habits and expenditures of households. Data are collected by a quarterly interview survey and weekly diary survey (mutually exclusive samples). Many summary tables are produced (by year, limited geographic areas, household characteristics), and you can create custom tables on the site.

Labor statistics for the NYC region  Wage, employment, and business data from the NY State Department of Labor.

World Development Indicators  World Development Indicators allows you to select from a wide range of national demographic, environmental, and economic indicators.

World Income Inequality Database  Indicators measuring inequality (including Gini coefficients) in over 150 countries, including those with transitional and developing economies.