http://www.cob.ohio-state.edu/dept/fin/osudata.htm
This home page provides an enormous directory of sources for financial information available on and off the Internet. A number of datasets can be downloaded right from the site. You will find jewels like Annual Historical British Stock Price and Macroeconomic Data since 1700 and Weekly Dow Jones Industrial Average 1900-1989. Other local resources which may interest you include Research Resources in Finance, and The Journal of Finance and Educational Resources in Finance.