It was suggested at a conference in June 2012 that I start compiling a list of my go-to and useful data sources for interested parties. In an effort to be helpful, what follows is that list. I will try to keep it navigable through geographic categorization. Please note that going through my data sources for the last several years is something of a time-consumptive process, and this list is and will be a work in progress.
FFIEC: The Federal Financial Institutions Examination Council compiles and offers bank reporting on mortgage lending practices according to the Home Mortgage Disclosure Act. Their National Information Center is also the "a central repository of data about banks and other institutions for which the Federal Reserve has a supervisory, regulatory, or research interest, including both domestic and foreign banking organizations operating in the United States."
HUD Foreclosure Estimates: In preparation for the NSP2 application process, HUD released census tract-level data on home foreclusure levels around the country. The link also leads to the detailed methodology for the estimates.
HUD General: Other HUD and housing-related datasets are categorized by their relevance to certain topics and available for download.
General: Data.gov contains a wide variety of downloadable data from the US Federal Executive Branch. Datasets can be browsed by agency, category, or topic or searched by keyword. Geographic data is similarly organized for browsing and search.
NOAA: NOAA offers bunchs of data at the National Climatic Data Center, the National Oceanographic Data Center, and the National Geophysical Data Center. In truth, NOAA goes much further with things like the National Data Buoy Center and the National Ocean Service Data Explorer. (All of these sites offer data beyond US Boundaries.)
US Census Bureau: Use the American Fact Finder to find and download spreadsheets of data, which you can filter by location, geography, topic, or specific survey. Remember that the Census conducts the Decennial Census as well as the more frequent and details (although with a smaller sample) American Community Survey and the Economic Census. US Census Cartographic Boundary Files are available for almost all geographies used by the Census Bureau. You will also find a link to the Census' TIGER files, which include street polylines shapefiles within the US.
USGS: USGS Seamless Data Warehouse is a good go-to source for imagery and elevation datasets within the United States at various resolutions.
New York City & State
Along with the NYS GIS Clearinghouse (below), the Cornell University Geospatial Information Repository (CUGIR) collects GIS data for New York State.
New York City's Open Data site offers a wide variety of city information, in a variety of formats, for download. The list can be filtered or searched.
NYC Department of City Planning's Bytes of the Big Apple collection includes geographic and tabular datasets on planning and zoning related topics, including administrative and political boundaries within the city and the LION street shapefile.
The New York State GIS Clearinghouse offers a collection of GIS datasets, organized by county (some counties have more data than others).