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The UN Statistical division has recently launched a new database, UNdata, that searches across all their statistical databases, over 55 million records, making it obviously much easier to search for global statistics. The interface is fairly intuitive and results pages provide information as to what database the statistics are pulled from. The database is available at:
http://data.un.org/
I've just discovered that the OECD is offering access to all their statistics while their new aggregate database, OECD.Stat is in beta. Their website indicates that this will be free for the first part of 2008. Statistics cover a range of topics including agriculture, demographics, finance, education, health, science, productivity, etc. Check it out at:
http://stats.oecd.org/wbos/Default.aspx
The IMF's World Economic Outlook Database is a free resource that contains selected macroeconomic data series. Data is available from 1980 to the present and includes national accounts, inflation, unemployment rates, balance of payments, fiscal indicators, trade for countries and country groups (aggregates), and commodity prices. While this information is available elsewhere, this database is very easy to use and information is well organized. Tables are in tab deliminated format and easily downloadable to Excel.
http://www.imf.org/external/pubs/ft/weo/2008/01/weodata/index.aspx