DataMarket is the latest data source of financial data accessible from R I came across. A good tutorial can be found here. I updated the table and the descriptions below.

Data Description

• Yahoo: Free stock quotes, up to date news, portfolio management resources, international market data, message boards, and mortgage rates that help you manage your financial life
• FRED: Download, graph, and track 149,000 economic time series from 59 sources
• Oanda: Currency information, tools, and resources for investors, businesses, and travelers
• Google: Stock market quotes, news, currency conversions & more
• Quandl: Futures prices, daily. Quandl is a search engine for numerical data^. The site offers access to several million financial, economic and social datasets
• TrueFX: Tick-By-Tick Real-Time And Historical Market Rates, Clean, Aggregated, Dealer Prices
• Bloomberg: Financial news, business news, economic news, stock quotes, markets quotes, finance stocks, financial markets, stock futures, personal finance, personal finance advice, mutual funds, financial calculators, world business, small business, financial trends, forex trading, technology news, bloomberg financial news
• Interactive Broker: Interactive Brokers Group, Inc. is an online discount brokerage firm in the United States
• Datastream: Datastream Professional is a powerful tool that integrates economic research and strategy with cross asset analysis to seamlessly bring together top down and bottom up in one single, integrated application
• pwt: The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 189 countries/territories for some or all of the years 1950-2010
• Thinknum: Thinknum brings financial data from a variety of useful sources together on one platform. We use this data to develop applications
• DataMarket: DataMarket brings complex and diverse data together so you can search, visualize and share data in one place and one format

Package Detail

• Quantmod: Specify, build, trade, and analyse quantitative financial trading strategies
• Quandl: This package interacts directly with the Quandl API to offer data in a number of formats usable in R, as well as the ability to upload and search
• TFX: Connects R to TrueFX(tm) for free streaming real-time and historical tick-by-tick market data for dealable interbank foreign exchange rates with millisecond detail
• Rbbg: Handles fetching data from the Bloomberg financial data application
• IBrokers: Provides native R access to Interactive Brokers Trader Workstation API
• rdatastream: RDatastream is a R interface to the Thomson Dataworks Entreprise SOAP API (non free), with some convenience functions for retrieving Datastream data specifically. This package requires valid credentials for this API
• pwt: The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 189 countries/territories for some or all of the years 1950-2010
• fImport: Rmetrics is the premier open source software solution for teaching and training quantitative finance. fImport is the package for Economic and Financial Data Import
• Thinknum: This package interacts directly with the Thinknum API to offer data in a number of formats usable in R
• rdatamarket: Fetches data from DataMarket.com, either as timeseries in zoo form (dmseries) or as long-form data frames (dmlist). Metadata including dimension structure is fetched with dminfo, or just the dimensions with dmdims.