Leading

MZM: http://research.stlouisfed.org/fred2/series/MZM?&cid=24 http://research.stlouisfed.org/publications/mt http://www.investmenttools.com/thefed/mzm.htm
US Dollar: www.investmenttools.com/futures/forex/welcome_the_us_dollar__page__dollar_point___figure_chart__dollar_futures_.htm
Long-Term T-Bond less Discount Rate: http://www.investmenttools.com/thefed/long_term_t_bond_rate_minus_discount_rate.htm
Yield Curve: http://www.bondsonline.com/Chart_Center.php http://www.bloomberg.com/markets/rates/index.html http://www.bondtalk.com/global.cfm?S=charts&SS=treasury_yield_curve http://research.stlouisfed.org/publications/mt

Coicident

ISM PMI: http://www.investmenttools.com/thestate/us_trade_surplusdeficit12e.htm
ISM PMI: http://www.ism.ws/ISMReport/content.cfm?ItemNumber=10748&navItemNumber=12949
GDP: http://research.stlouisfed.org/fred2/series/GDP?&cid=18 http://www.bea.gov/briefrm/gdp.htm
Real GDP: http://research.stlouisfed.org/fred2/series/GDPC1?&cid=18
GNP: http://research.stlouisfed.org/fred2/series/GNP?&cid=18
Econ Stats: http://www.whitehouse.gov/fsbr/output.html
Housing Starts: http://www.realtor.org/research.nsf/pages/EcoIndicator?OpenDocument http://www.census.gov/briefrm/esbr/www/esbr020.html http://research.stlouisfed.org/fred2/series/HOUST/
Retail Sales: http://research.stlouisfed.org/fred2/series/RSXFS?&cid=1
Car Sales: ??
Employment (total nonfarm payrolls): http://research.stlouisfed.org/fred2/series/PAYEMS?&cid=10
Unemployment: http://research.stlouisfed.org/fred2/series/UNRATE?&cid=10
Unit Labor Cost: http://research.stlouisfed.org/fred2/series/ULCBS?&cid=1

Lagging

Discount Rate: http://www.investmenttools.com/thefed/fed_discount_rate.htm
Fed Funds Rate: http://research.stlouisfed.org/fred2/series/FEDFUNDS?&cid=22 http://www.investmenttools.com/thefed/fed_funds_rate.htm
Fed Funds less Inflation: http://www.investmenttools.com/thestate/short_rates_minus_inflation_rate.htm
CRB Futures Index: http://www.investmenttools.com/futures/crb_index.htm
CRB: http://www.investmenttools.com/futures/crb_index.htm www.crbtrader.com/crbindex/spot_calc.asp www.barchart.com
Gold: www.investmenttools.com/futures/metals/welcome_to_the_page_about_gold.htm
Oil: http://research.stlouisfed.org/fred2/series/OILPRICE?&cid=1
CPI: http://research.stlouisfed.org/fred2/series/CPIAUCSL?&cid=9
PPI: http://research.stlouisfed.org/fred2/series/PPIACO?&cid=31
Core CPI: http://research.stlouisfed.org/fred2/series/CPILFESL?&cid=9
Prime Interest Rate: http://research.stlouisfed.org/fred2/series/WPRIME?&cid=22
13 week: http://research.stlouisfed.org/fred2/series/DTB3?&cid=22
10 year: http://research.stlouisfed.org/fred2/series/DGS10?&cid=22
30 year Motgage: http://research.stlouisfed.org/fred2/series/MORTG?&cid=22
Bond BAA Yield: http://research.stlouisfed.org/fred2/series/WBAA?&cid=22
Bond BAA to 10 Year spread: ??

Misc

P/E Ratio of SP500 & everything else you ever wanted to know: http://research.stlouisfed.org/publications/mt/
Bond Yields: http://www.bondtalk.com/global.cfm?S=charts&SS=bmyieldsummary
Margin Debt: http://www.investmenttools.com/thefed/margin_debt.htm
Specialist Short Sales: http://www.investmenttools.com/thefed/specialist_short_sales.htm
Member Short Sales: http://www.investmenttools.com/thefed/nyse_member_short_sales.htm
www.marketvector.com
www.neatideas.com
www.whitehouse.gov/fsbr/esbr.html
http://research.stlouisfed.org/fred2/categories