USA 

US Stat. Abstract · http://www.census.gov/statab/www/

Fed Stats · http://www.fedstats.gov/

U.S. Census · http://www.census.gov/

U.S. Courts Statistical Reports · http://www.uscourts.gov/library.html

Bureau of Justice Statistical Publications · http://www.ojp.usdoj.gov/bjs/pubalp2.htm

National Criminal Justice Reference Center · http://www.ncjrs.org/

National Archive Criminal. Justice Data · http://www.icpsr.umich.edu/NACJD/index.html

UIUC Government Statistics · http://www.library.uiuc.edu/doc/statistics.htm

UIUC Social Science Statistics · http://www.library.uiuc.edu/edx/webstats.htm

Inter-University Consortium for Political and Social Research (ICPSR) · http://www.icpsr.umich.edu

National Center for State Courts · http://www.ncsconline.org/D_Research/csp/CSP_Main_Page.html

University of Michigan Documents Center · http://www.lib.umich.edu/govdocs/stats.html.  Premier site for locating government documents and statistics.

Foreign & International

CIA World Fact Book · http://www.odci.gov/cia/publications/factbook/index.html

U.S. Department of State Background Notes · http://www.state.gov/r/pa/ei/bgn/

EuroStat · http://europa.eu.int/comm/eurostat/

International & Foreign Statistical Agencies · http://www.census.gov/main/www/stat_int.html

InfoNation (UN) · http://www.un.org/Pubs/CyberSchoolBus/infonation/e_infonation.htm

United Nations Data Access System (UNdata) http://data.un.org/

World Bank Data & Statistics · http://www.worldbank.org/data/

Global Socioeconomic Data Applications Center (SEDAC) (lots of environmental data) · http://sedac.ciesin.org/index.html