Historical Statistical Abstracts

The Census Bureau has scanned and posted the full-text of the Statistical Abstracts of the United States, since 1878! A few years are missing, but I can't think of a more comprehensive online source for historical data. Some, but not all, of the PDFs are searchable.

The Census Bureau has also posted searchable PDFs of Historical Statistics of the United States, Colonial Times to 1970.

You just have to be careful about comparing data over time, because definitions and methodologies can change.