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CIA World Factbook (Best Bet Source)
Contains facts on every country, dependency, and geographic entity in the world.
A vast compilation of data from hundreds of sources. You can get maps and graphs on all kinds of statistics, everything from obesity to murders.
Country Profiles from the Library of Congress
Library of Congress profiles of foreign nations offering brief, summarized info on a country’s historical background, geography, society, economy, transportation and telecommunications, government and politics, and national security.
US Dept. of State Country Fact Sheets
Provides background info about US relations with each country. Also has links to additional info about the country,
World Bank Open Data
Provides development data (World Development Indicators: WDI) and surveys/research for countries and regions. Can view by country, topic or indicator and the statistics can be downloaded.
They also have their Doing Business In... guides and data which look at topics such as ease of starting a new business, taxation, permits etc..
Cost of Living by Country
A cost of living calculator that allows you to compare the cost of living between cities around the world.
"Numbeo is the world’s largest database of user contributed data about cities and countries worldwide. Numbeo provides current and timely information on world living conditions including cost of living, housing indicators, health care, traffic, crime and pollution."