Federal Reserve Economic Database. The data motherlode: banking, finance, economics -- it’s all here. Charts can be clipped with a screen capture utility (or dragged to your desktop with the Safari browser). Data can be downloaded in Microsoft Excel format.
New York Federal Reserve Bank. A smaller, more focused dataset with more stylish charts. Graphs are in PDF format and can be easily saved.
Pimco Bonds Market Commentary. Bill Gross and Paul McCulley’s newsletters are must-reads for anyone interested in how macroeconomic events are affecting financial markets.
Federal Reserve Bank of Philadelphia. Lots of information and data available on this site, but the Philly Fed’s Survey of Professional Forecasters is probably the main highlight here.
Bureau of Labor Statistics. Data on Inflation, Unemployment, Pay and Benefits, Productivity and much more.
Bureau of Economic Analysis. From the Dept. of Commerce, a good source for historical economic data.