Bureau of Labor Statistics.  This is a government agency responsible for collecting and releasing many key economic statistics, including the unemployment rate and consumer price index.

U.S. Census Bureau.  Provides data of the U.S. distribution of income.

Current Population Survey.  A monthly survey, performed jointly by the Bureau of Labor Statistics and the U.S. Census Bureau.

Bureau of Economic Analysis.  This is the government agency responsible for GDP statistics, including the National Income and Product Accounts (NIPA).

White House Statistical Briefing Room.  Newly released economic statistics, such as the unemployment rate, are listed here.  If you would like to enter the White House from the front door, click here.

Smart Money.  This is the Wall Street Journal's free magazine site.  This is one of many places to get financial news information.  Their map of the market is particularly interesting.