Canada

Bank of Canada - Very useful weekly economic releases
OpenGov
Finance Canada
Strategis: Industry Canada
Statistics Canada
Conference Board of Canada - Economic Trends research

Mexico

Banco de Mexico Economic Statistics
Mexico Economic Statistics
INEGI - Statistical Office

United States (USA)

ABC News/Washington Post Consumer Comfort Index
American Petroleum Institute (API) - Monthly Petroleum, Natural Gas and related products data
Bank of Tokyo-Mitsubishi - Weekly Chain Store Sales, International Trade Survey, US Business Barometer, etc.
BEA - Bureau of Economic Analysis - GDP, International Trade, Personal Income, etc. data
BLS - Bureau of Labor Statistics - Average Hourly Earnings, Consumer Price Iindex (CPI), Employment Cost Index (ECI), Producer Price Index (PPI), Productivity, Import/Export Prices, Unemployment Rate, etc. data
The Conference Board - Consumer Confidence, Help Wanted Index, and US Leading Index data
Dept. of Commerce's Stat-USA
DOE's Energy Information Agency (EIA) - Weekly Petroleum, Natural Gas and related products data
Existing Home Sales data from the National Association of Realtors
Federal Reserve Board Economic and Business Releases - good source
Federal Reserve Districts' Beige Book - Economic conditions in the 12 Districts
Federal Reserve Districts Economic Data
FedStats - A huge statistical clearinghouse
Housing Market Index (HMI), and New Housing Sales data from the National Association of Home Builders (NAHB)
ICSC-UBS Warburg Weekly Chain Store Sales - Formerly Bank of Tokyo-Mitsubishi Weekly Chain Store Sales
Institute of Supply Management (ISM) - Formerly known as the National Association of Purchasing Managers (NAPM)
Mortgage Bankers Association (MBA) - Weekly Mortgage Loan Application Surveys
University of Michigan Index of Consumer Sentiment - One of their many "Surveys of Consumers" data & Indices
US Census Bureau - Construction Spending, Durable Goods Orders, Factory Orders, Housing Starts, Income, Population, Retail Sales/Inventory, Manufacturing Shipments/Inventories, etc. data

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