http://www.bls.gov - Bureau of Labor Statistics.
http://www.federalreserve.gov - Federal Reserve Board.
http://research.stlouisfed.org/fred2 - Federal Reserve Bank of St. Louis.
http://www.nationwide.co.uk - Nationwide.
http://www.oanda.com/convert/fxhistory - Oanda.
http://finance.yahoo.com - Yahoo! Finance.
The following web sites contain lists of journals in finance or links to finance journals:
http://www.cob.ohio-state.edu/dept/fin/overview.htm - the Virtual Finance Library, with good links and a list of finance journals.
http://www.helsinki.fi/WebEc/journals.html - provides a list of journals in the economics area, including finance, plus a number of finance-related resources.
http://www.people.hbs.edu/pgompers/finjourn.htm - provides a list of links to finance journals.
http://www.numa.com/ref/journals.htm - the Numa directory of derivatives journals - lots of useful links and contacts for academic and especially practitioner journals on derivatives.
Almost all universities around the world now make copies of their discussion papers available electronically. A few examples from finance departments, and from central banks, are as follows:
http://fic.wharton.upenn.edu/fic/papers.html - Wharton Financial Institutions Center.
http://haas.berkeley.edu/finance/WP/rpf.html - University of California at Berkeley.
http://www.icmacentre.ac.uk/index.php?id=180 - ICMA Centre, University of Reading, of course!
US Federal Reserve Banks and the Bank of England:

http://www.bankofengland.co.uk/index.htm - Bank of England - containing their working papers, news and discussion.
http://www.frbatlanta.org/ - Federal Reserve Bank of Atlanta - including information on economic and research data and publications.
http://www.chicagofed.org/ - Federal Reserve Bank of Chicago - including interest data and useful links.
http://www.dallasfed.org/ - Federal Reserve Bank of Dallas - including macroeconomic, interest rate, monetary and bank data.
http://www.federalreserve.gov/pubs/ifdp/ - Federal Reserve Board of Governors International Finance Discussion Papers.
http://www.ny.frb.org/research/ - Federal Reserve Bank of New York.
International bodies:

http://dsbb.imf.org/ - the International Monetary Fund (IMF) - including working papers, forecasts, and IMF primary commodity price series.
http://www.worldbank.org/html/dec/Publications/Workpapers/domfincapmkts.html - World Bank working papers in finance.
http://www.oecd.org/eco/wp/onlinewp.htm - Organisation for Economic Cooperation and Development (OECD) working paper series, searchable.
Miscellaneous:

http://www.nber.org - National Bureau of Economic Research (NBER) - huge database of discussion papers and links including data sources.
http://econpapers.repec.org/ Econpapers (formerly WoPEc) - huge database of working papers in areas of economics, including finance.
http://ideas.uqam.ca/ - IDEAS - a bibliographic database for economics, reportedly including over 500,000 searchable items.
http://www.ssrn.com - The Social Science Research Network - a huge and rapidly growing searchable database of working papers and the abstracts of published papers.
http://www.devinit.org/findev/papers.htm - Finance and Development Research Program - interesting research output and links on various issues in finance, but especially relating to developing countries, such as banking crises, regulation, etc.