BEA - The US Bureau of Economic Analysis is a wonderful source of national, regional, international, and industry data. It is an agency of the US Department of Commerce.
BLS - The Bureau of Labor Statistics is the principal fact-finding agency for the US Government in the broad field of labor economics and statistics. It is an agency of the US Department of Labor.
Census - The Economic Census profiles the US economy every 5 years, from the national to the local level. The last forms for the 2002 Economic Census were due back to the government earlier this month. So it should be available in a few weeks.
Conference Board - The Conference Board is a non-profit organization that studies the economy. It is the usual source for the Consumer Confidence Indicators you see on the news.
DOL - The US Department of Labor should be the starting point if you need to find any US data on questions pertaining to labor. In addition to providing useful data itself, it also provides links to its many bureaus.
Federal Reserve - The Federal Reserve, the central bank of the United States, is a resource for questions about US (1) monetary policy; (2) banking institution regulations; (3) and the financial system as a whole.
ISM - One of the best private sources of US economic data. The manufacturing report comes out the first business day of the month. The non-manufacturing report comes out a few days later. They also track Steel Purchases (also see MSCI for similar data).
MSCI - This institute specializes in the metal services industry. Toward the latter part of each month, they release a useful report on the metal industry. Even in this day and age, metal consumption is a very significant part of the US economy and tracking it can be quite illuminating.
NBER - The National Bureau of Economic Research is a private, nonprofit, research organization that studies how the economy works. I haven't found them to be that useful, but I see them quoted a lot.
Solport - In addition to providing this page of economic references, Solport also provides some charts that track economic issues of importance to the site's author. At this point, only the employment chart is available, but other charts will be available in the future. When I update the charts, I also discuss them at my blog.
US EU - This U.S. site focus on issues of concern to both the US and the EU - mostly trade issues.