International Data Base (IDB) from the U.S. Bureau of the Census. Current and historical (1950- ) data, mainly demographic; construct your own report and view or download the data.
The World Factbook from the CIA: very useful compilation of a wide range of current facts and figures, plus maps, for all the countries of the world.
World Development Indicators presents the most current and accurate global development data available, and includes national, regional and global estimates