DATA LINKS

The National Bureau of Economic Research hosts the Penn-World tables, March CPS files, SIPP data, and many other useful datasets.
The IPUMS website has public use microsamples from the US Census, the March CPS, and international censuses with variable definitions harmonized and standardized in a well-documented way.
The Census, BEA and other Dept of Commerce sites have quite a lot of data and documentation.
The CENSUS has:
1. Survey of Income and Program Participation
(also see the SIPP home page).
2. (CPS) Current Population Survey
3. (AHS) American Housing Survey
4. (CES) Consumer Expenditure Survey
(Sponsored by the BLS).
5. (PUMS) Decennial Census Public Use Microdata Samples

The Survey of Consumer Finances (SCF) (at the Federal Reserve Board) oversamples the wealthy.
The National Longitudinal Surveys and much other data are owned by the Bureau of Labor Statistics (an agency within the U.S. Department of Labor).
Annual demographics (March CPS) links are online at the BLS. Confidential data are available onsite at the BLS.
The Panel Study on Income Dynamics (PSID) is available through the Institute for Social Research (ISR).
The Health and Retirement Survey (HRS) is available through the Institute for Social Research (ISR).
The ICPSR at the Institute for Social Research (ISR) archives various data.
UCLA hosts a clearinghouse of data on developing countries.
The CIESIN data gateway offers access to (mostly) demographic and geographic data.
The IRS does not offer much access to data, online or otherwise.
The Ernst and Young database at the OTPR (at the Business School) contains detailed cross-sectional data from US tax returns from 1962 to 1990, and is available for purchase (not online).
The extremely valuable database COMPUSTAT, containing detailed firm data, is available to NBER researchers, and by (expensive) subscription.
The commercial database CRSP, containing detailed bond and equity series, is available to NBER researchers, and by (expensive) subscription.
The commercial database DATASTREAM (which has detailed bond and equity series) is available on a limited basis to Economics and Business students at the University of Michigan from the computer labs only.

Email me at nicholsa@umich.edu and tell me about other links I should put up here.