The rdatamarket post on the Revolutions blog and this post on Decision Stats reminded me about my list of Data APIs/feeds available as packages in R on Cross-Validated (which is a great site that you all should use).  Many of these packages are from Omega Hat, which is an awesome site.

This is the most comprehensive list I’m aware of, so please alert me to any ommisions:

Free Data:
Data Source – Package
Google Finance historical data – quantmod
Google Finance balance sheets – quantmod
Yahoo Finance historical data – quantmod
Yahoo Finance historical data – tseries
Yahoo Finance current options chain – quantmod
Yahoo Finance historical analyst estimates – fImport
Yahoo Finance current key stats – fImport – seems to be broken
OANDA historic exchange rates/metal prices – quantmod
FRED historic macroeconomic indicators – quantmod
World Bank historic macroeconomic indicators – WDI
Google Trends historic search volume data – RGoogleTrends
Google Docs – RGoogleDocs
Twitter – twitteR
Zillow – Zillow
New York Times – RNYTimes
US Census 2000 – UScensus2000
infochimps – infochimps
datamarket – rdatamarket – requires free account
Factual.com – factualR
Geocode addresses – RDSTK
Map coordinates to political boundaries – RDSTK
Weather Underground – Roll your own
Google News – Roll your own
Earth Sciences netCDF Data – Roll your own
Climate Data – Roll your own
Public health data – Roll your own
FishBase – rfishbase

Paid Data:
Bloomberg – RBloomberg
LIM – LIM
Trades and Quotes from NYSE – RTAQ
Interactive Brokers – IBrokers

Useful Tools:
RCurl
RJSON
RJSONIO
XML
scraper
digitizer