FRB of New York
Besides offering extensive information on themselves (they cover the 2nd Federal Reserve District) and the Federal Reserve in general, this site has extensive information on banking (including regulatory issues), various news items (including news in various financial markets and from speeches), and same day exchange rate and interest rate information (see the "Statistics" section). Regarding publications, they offer their "Annual Report," "Current Issues in Economics and Finance" (which focuses on "specific public policy issues"), "Economic Policy Review," ("a policy-oriented research journal on macroeconomics, banking, and financial market topics"), "Research Update" (which summarizes recent research), "Staff Reports," and "Research Papers." There is also extensive educational information (some of the publications can be ordered on-line).
For statistics, they offer considerable interest rate data (some from the early part of this century). This includes the Federal Funds rate, the Discount Rate, the Prime Rate and some CD data. Finally, there is considerable information for consumers on savings bonds and the Treasury Direct Program.