This site, run by the Federal Interagency Council on Statistical Policy,
lists detailed information and provides links to more than 100 different
federal statistical agencies. You can search for statistical
information several different ways: via a search engine, by lists of
data generating agencies or by their data, via a "reference shelf," by
geographical and map searches, and by a list of data extraction engines.
The site also lists contacts at the various agencies, and you can both
list and search for press releases from some of the sites (which happen
to include most of the major economic ones).