Census Bureau: best for all industries and sectors (see a separate tab for more information)
Bureau of Economic Analysis: their data is presented in terms of national accounts
Bureau of Labor Statistics: the source for Consumer Price Index (CPI) and Producer Price Indexes
Federal Communications Commission: they collect data related to television, cable providers, communications firms
Department of Energy: they collect a host of energy related statistics on the Energy Information Administration (EIA) web page
Department of Agriculture: the data collected are good for those interested in agribusiness (crops, livestock)
Department of Health & Human Services: this is the home of the FDA which is responsible for oversight and regulation of pharmaceuticals and medical devices as well as food and cosmetics
FDIC: information on banks
Department of Transportation: information related to modes of transportation
Centers for Medicare & Medicaid Services: good for those looking at healthcare
International Trade Administration: export and import data for those who need trade data
Securities & Exchange Commission: some information related to the investment industry and public company filings