By Rob J Hyndman, Monash U., Australia, Jun 20, 2012.
Time Series Data Library
is a collection of about 800 time series that I have maintained since about 1992, and hosted on my personal website. It includes data from a lot of time series textbooks, as well as many other series that I've either collected for student projects or helpful people have sent to me.
One particularly useful feature is the ability to read directly into R using the rdatamarket package. All you need to know is the short link. For example, to download "Deaths from gun-related homicides in Australia, 1915-2004", use the following R code
deaths <- dmseries("http://data.is/Ky6vVf")