Bureau of Economic Analysis--The BEA is a good source for U.S. economic data on topics such as GDP, income, and employment, at national, state, and local levels. There is also a section for data on U.S. international economic transactions (e.g. trade, foreign direct investment).
Bureau of Labor Statistics (BLS)--The BLS provides a variety of data pertaining to employment and wages and prices at various levels (national, state, local). Be warned that the site is not well-organized and that the time coverage can vary greatly.