Genderstats
Continuously updated online database of statistics organized by country and by subject (health, education, poverty, political participation, socioeconomics, etc); can be saved in EXcel or other spreadsheet software.

NationMaster
A massive central data source which mines statistics from a variety of sites, including the OECD, UN, and CIA World Factbook and makes them readily available in one place.  Use the category and subcategory boxes to select from thousands of statistics or click on countries at the top of the screen. Sources are listed.

Penn World Tables
Comparative historical international economic, financial and demographic statistics, covering 1950 - 2004, searchable by topic or by country.

United Nations Development Program
Comprehensive guide to global human development indicators; statistics compare 175 countries on issues including health, literacy and education.

United Nations Statistics Division
Population and vital statistics from around the world.  The .pdf version of the Annual Demographic Yearbook is an excellent resource for international figures.