Note that finding primary sources is easiest for the United States. You can find a fair number of primary sources for Britain and somewhat fewer for France. Other countries present even greater difficulties. Keep this in mind in thinking about topics. Students who end up focusing on the 1970s onwards because they cannot find earlier data tend not to do well on the paper.
Hardly any non-U.S. data are available. Most of the U.S. data date from the end of the nineteenth century onwards.
Most publicly available data are stored with ICPSR. To browse their collection, Inter-University Consortium for Political and Social Research.
Available ICPSR data:
Data archives similar to ICPSR exist in other countries as well. See the Council of European Social Science Data Archives. The History Data Service, part of the Archives at the University of Essex has a particularly rich collection of historical data.
Other data can be obtained by directly contacting individuals.
This list will mainly be useful if you are working on the nineteenth century or later.
Historical newspaper databases include Proquest's New York Times Historical Archives and Historical Wall Street Journal and are accessible from the libraries Web page.
Note that MIT keeps older material, including published census volumes, in its Retrospective Collection (RSC). Primary sources are also available at Harvard's Widener, Littauer (federal and state government reports), Lamont (census volumes), Guttman (education volumes), and Baker (business history) libraries. Most Littauer volumes will not show up on the online catalogue. The Boston Public Library contains Massachusetts state reports.
Three volumes that you should be familiar with are:
U.S. Bureau of the Census. Historical Statistics of the United States, Colonial Times to 1970. Washington, DC: U.S. Dept. of Commerce, Bureau of the Census, U.S. Government Printing Office, 1975.
Other sources you might find useful are:
Historical Published U.S. Census Information: Historical Census Browser.
Digitized U.S. Statistical Yearbooks: Statistical Abstracts.
Digitized U.S. Census Volumes (Incomplete): Census of Population and Housing.
BLS CPI Series: Bureau of Labor Statistics.
Board of Governors of the Federal Reserve System. Banking and Monetary Statistics. Washington, DC: Board of Governors of the Federal Reserve System, 1943.
Kuznets, S. S. 1966. Capital in the American Economy: Its Formation and Financing. Princeton, NJ: Princeton University Press, 1961.
American Philosophical Society. Population Redistribution and Economic Growth, United States, 1870-1950: Methodological Considerations and Reference Tables. Philadelphia, PA: The Society, 1957.
Levy-Leboyer, Maurice et Bourguinon, Franois. 1985. L'économie française au XIXe siècle. Analyse macro-économique. Paris: Economica, 1985. (Also available in English.)
Urquhart, M. C., and K. A. H. Buckley. The Historical Statistics of Canada. Cambridge, UK: Cambridge University Press, 1965.
Collver, Clinton. Industrial Securities. New York, NY: Moody's Investors Service, 1919.
Conference on Research in Income and Wealth. Trends in the American Economy in the Nineteenth Century. Princeton, NJ: Princeton University Press, 1960.
Office du Travail. Ministere du Commèrce, de l'Industrie des Postes et des Telegraphes. Salaires et duree du travail dans l'industrie française. Paris: Imprimerie nationale, 1893-97. (4 volumes.)
Censuses of population and statistical yearbooks.
Assorted reports from government agencies.
Price series that can be obtained from private sources such as railroad freight rates and Montgomery Ward's catalogues.