The DataWeb provides access to economic, health and demographic databases from the US government and private organizations. The portal is maintained by the Census Bureau and the CDC. You will need to download a free program called the DataFerrett to use the database. This interface provides an intermediate between statistical tables and whole data sets.
To support the research needs of Penn faculty, students and staff, the University of Pennsylvania Libraries acquire and subscribe to numerical and geospatial data resources in print and electronic formats. The library is a federal depository library, and receives large amounts of numerical data from agencies. Many of these resources are available on CD-ROM as well as on the web.
I like some of the features of this site -- I'd like to see some user testing with those videos. Do students watch them? It's a nice idea, and much easier to produce and consume than a text-based description of the same thing. I also like the "circular process" motif. Nice.