Journal of Statistics Education Data Archive Datasets contributed by statistics teachers. Raw data are in a .dat file with explanations a .doc file. Many of these datasets are tied to longer JSE articles discussing their use in statistics classes.
Statlib Dataset Archive One of the original (and still best) sources for archived data.
CHANCE Project Datasets Data from recent media coverage of current events. Only a few datasets here, but many excellent references to teaching applications of statistics in the news can be found at the main CHANCE page.
Electronic Dataset Service A collection of links to datasets organized by statistical methods (multiple regression, time series, etc.). Housed at the University of Massachusetts - Amherst.
Data from a number of popular textbooks can now be found on the Web. Note that in most cases, you'll need a copy of the book in order to place the proper context with the data.