A short collection of some useful data sources, I am keeping this one short and will try to include mostly EU specific data sources. There are already some fairly exhaustive lists of data sources around anyway, this one for example: Topic-centric list of high-quality open datasets in public domains
Data.gov - US government
CIA World Factbook - A classic reference resource
OECD Data - Self eplanatory
EU Open Data - Data from the institutions and other bodies of the EU
Eurostat – European statistics - economy, population, industry, trade, technology etc
Statistisches Bundesamt - The Federal Statistical Office (Germany)
Data.gov.uk - UK Government project to make non-personal UK government data available
Open Data Bacrcelona - Ajuntament de Barcelona's open data service
Gapminder – Internationally comparable data on development and economy
Wikidata - Wikipedia's database with over 46 million data items\
Google Finance - It's posssible to scrape all kinds of data there, such as historic share prices, currency rates, etc
IMDB - Internet Movie Database (IMDB)
IGDB - The IMDB for video games
Boardgamegeek - The IMDB for board games ...
Good Books - And the MBD for books ...
AWS Public Datasets
Data from 538.com - News site focussing on stats & data journalism (US centred)
Kaggle data sets
datahub.io - As the name promises, tons of data sets
SRF Data - Code & data from SRF Data, the data-driven journalism unit of Swiss Radio and TV (SRF) datenjournalismus.net - Collection of data journalism projects within german speaking countries (DE - A - CH)