  We place new constraints on the primordial local non-Gaussianity parameter
f_NL using recent Cosmic Microwave Background anisotropy and galaxy clustering
data. We model the galaxy power spectrum according to the halo model,
accounting for a scale dependent bias correction proportional to f_NL/k^2. We
first constrain f_NL in a full 13 parameters analysis that includes 5
parameters of the halo model and 7 cosmological parameters. Using the WMAP7 CMB
data and the SDSS DR4 galaxy power spectrum, we find f_NL=171\pm+140 at 68%
C.L. and -69<f_NL<+492 at 95% C.L.. We discuss the degeneracies between f_NL
and other cosmological parameters. Including SN-Ia data and priors on H_0 from
Hubble Space Telescope observations we find a stronger bound: -35<f_NL<+479 at
95% C.L.. We also fit the more recent SDSS DR7 halo power spectrum data
finding, for a \Lambda-CDM+f_NL model, f_NL=-93\pm128 at 68% C.L. and
-327<f_{NL}<+177 at 95% C.L.. We finally forecast the constraints on f_NL from
future surveys as EUCLID and from CMB missions as Planck showing that their
combined analysis could detect f_NL\sim 5.
