Canada

Federal
Statistics Canada

Provincial & Territorial - Statistical Agencies and Useful Government Browsers
Alberta
British Columbia
Manitoba.
New Brunswick
Newfoundland & Labrador
Northwest Territories
Nova Scotia
Nunavut
Ontario
Prince Edward Island
Quebec
Saskatchewan
Yukon

United States

FEDSTATS (Federal Interagency for Statistical Policy)
    Provides access to data from more than 70 US Government Agencies.

U.S. Census

International

CESSDA (Council of European Social Science Data Archives)

ICPSR (Inter-University Consortium for Political and Social Science Research)

Roper Center (International Public Opinion Research)