What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
This post is Quant Stack Exchange's master list of data sources.
Please append your links to other data sources to the list below.
Economic Data
See What are the most useful sources of economics data? on Cross Validated SE.
World

https://macrovar.com/macrovar-database/ includes free data for 5,000+ Financial and Macroeconomic Indicators of the 35 largest economies of the world. It includes macroeconomic indicators and financial markets covering equity indices, fixed income, foreign exchange, credit default swaps, futures and commodities. It also provides free financial and economic research.
OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies.
http://www.assetmacro.com/ includes data for 20,000+ Macroeconomic and Financial Indicators of 150 countries
https://db.nomics.world is an open platform with more than 16,000 datasets among 50+ providers.

United Kingdom

http://www.statistics.gov.uk/

United States

Federal Reserve Economic Data - FRED (includes URL-based API)
http://www.census.gov/
http://www.bls.gov/
http://www.ssa.gov/
http://www.treasury.gov/
http://www.sec.gov/
http://www.economagic.com/
http://www.forecasts.org/


Foreign Exchange

1Forge Realtime FX Quotes
OANDA Historical Exchange Rates
Dukascopy - Historical FX prices; XML and CSV. There is a non-affiliated downloader called tickstory.
ForexForums Historical Data - Historical FX downloads via Amazon S3
FXCM provides an open repository of tick data starting from January 4th 2015, with a download script on github.
GAIN Capital - Historical FX rates (in ZIP format)
TrueFX - Historical FX rates (in ZIP/CSV format). A download helper script is available on GitHub. TrueFX.com asks for free registration. Same files are linked from Pepperstone, no registration needed.
TraderMade - Real Time Forex Data
[RTFXD - Real Time FX Data] 9: Delivered via ssh. Very low pricing.
Olsen Data / Olsen Financial Technologies: Historical FX data can be ordered online in custom format. Download link sent in 2 business days. Real time data service. Expensive but very high quality.
Zorro: 1Minute bars from 2010 in t6 format (OHLC and tick volume)
http://polygon.io
Norgate Data: Historical FX data covering 74 currency currency and 14 bullion crosses with daily updates.
PortaraCQG - Historical Forex Data Supplies FX 1 min, tick and level 1 from 1987. Updates and data tools included.
Databento Real-time and historical data direct from colocation facilities. Integrates with Python, C++ and raw TCP. Includes order book, tick data, and subsampled OHLCV aggregates at 1s, 1min, 1h, daily granularity.

Equity and Equity Indices

http://finance.yahoo.com/

http://www.iasg.com/managed-futures/market-quotes

http://kumo.swcp.com/stocks/

Kenneth French Data Library

http://unicorn.us.com/advdec/

http://siblisresearch.com/

usfundamentals.com - Quarterly and annual financial data for US companies for the five years up until 2016

http://simfin.com/

Olsen Data / Olsen Financial Technologies

https://www.tiingo.com/welcome - Equity, ETF, and Mutual Fund  price and fundamental data

http://polygon.io

Norgate Data - Deep daily history of US, Australian and Canadian equities and indices, survivorship bias-free, and daily updates.

PortaraCQG - Historical Intraday Data - Supplies global indices 1 min, tick and level 1 from 1987. Updates and data tools included.

Databento - Real-time and historical data direct from colocation facilities. Integrates with Python, C++ and raw TCP. Includes order book, tick data, and subsampled OHLCV aggregates at 1s, 1min, 1h, daily granularity.

EquityRT - Historic stock trading, index and detailed fundamental equity (historic and forecast) data and financial analysis along with industry-specific financial analysis and comparisons, institutional shareholding data and news reports provided through Excel APIs or a web browser. Service includes foreign exchange, commodity and cryptocurrency prices in addition to some fixed income, and macroeconomic data. Service was geared towards emerging countries' markets but recently expanded to include developed country markets. Not free but quite reasonably priced.

Investing.com - Trading and some fundamental data for equities in addition to pricing data for commodities, futures, foreign exchange, fixed income and cryptocurrencies through a web browser. Only pricing data can be downloaded for free. Historic financials and forecasts and financial analysis available for companies with the pro subscription through a browser along with downloading and charting, no APIs.

algoseek - Non-free provider of intraday and other data through various types of APIs and platforms for equities, ETFs, options, cash forex, futures, and cryptocurrencies mainly for US markets.



Fixed Income

FRB: H.15 Selected Interest Rates
Barclays Capital Live (institutional clients only)
CDS spreads
PortaraCQG - Institutional Supplier - Supplies Tullet Prebon Sovereign Debt 1 min, tick and level 1 from 1987. Updates and data tools included.
Credit Rating Agency Ratings History Data - Corporate rating histories from multiple agencies converted to CSV format.
Data on historical, cross-country nominal yield curves - A Q&A on fixed income yield data providing links to official and commercial sources for many different countries.


Options and Implied Volatility

http://www.ivolatility.com/
http://www.optionmetrics.com/
http://www.livevol.com/
http://www.historicaloptiondata.com/
https://www.commodityvol.com/
Olsen Data / Olsen Financial Technologies


Futures

http://www.simiansavants.com/cmedata.shtml
http://www.cmegroup.com/market-data/index.html
http://www.quandl.com
Olsen Data / Olsen Financial Technologies
Norgate Data - Deep daily history of 100 futures markets from 11 worldwide exchanges, and daily updates.
PortaraCQG - Historical Futures Data Supplies Global Futures. Daily from 1899, 1 min, tick and level 1 from 1987. Updates and data tools included.
Databento . Real-time and historical data direct from colocation facilities. Integrates with Python, C++ and raw TCP. Includes order book, tick data, and subsampled OHLCV aggregates at 1s, 1min, 1h, daily granularity.


Commodities

LIFFE Commodity Derivatives - 15 min delay; free registration
PortaraCQG - Historical Commodities Data Global Commodities including LME, Asian and Russian commodity exchanges.


Multiple Asset Classes and Miscellaneous

http://www.eoddata.com/
Robert Shiller Online Data
S#.Data is a free application for downloading and storing market data from various sources


Specific Exchanges

Spanish Futures & Options (MEFF)
CBOE Futures Exchange (CFE Vix Futures)

