Keep in mind that some frequencies or indicators may need to be calculated.
For U.S. economic and industry data start with Find U.S. Economic Indicators. Free government and library subscription databases.
For international indicators use Find International Time Series. International agencies may calculate indicators in different ways. Make sure your data is comparable.
Historical company financial information can be found at Company Time Series Data. Compustat has the longest time series for sales and other financial statement data on a quarterly and annual basis.
Find Articles for further sources of data and overviews of industry and economic issues.