RFE - Resources for Economists on the Internet
A great, comprehensive place to begin; includes links to data sets.

WebEc: Resources for Economists on the Internet
One of the basic sites for economists with annotated and evaluated lists of web sites.

Think Tanks
Many research organizations publish their reports on their web sites. The publications of some think tanks are frequently cited in the scholarly literature (hint: using the citation index to see how frequently a think tank is cited is a good way to gauge whether you should use its reports or not). The link above leads to a list of directories of think tanks.