I've sung the praises of Quandl before - e.g., see here. What's not to like about millions of free time series data - especially when they're linked back to their original sources so that updating and accuracy is the least of your worries.
If you can then get your favourite statistics/econometrics package or programming language to access and import these data seamlessly, so much the better. The less you "handle" the data (e.g., by copying and pasting), the less likely you are to introduce unwanted errors.
One of the great strengths of Quandl is that it facilitates data importing very nicely indeed:
A case in point is with EViews, where it's achieved using an EViews "Add-in". I've recently put together a handout that deals with this for the students in one of the courses I'm teaching this term. There's nothing in it that you couldn't learn from the Quandl and EViews sites. However, it's a "step-by-step guided tour", and I thought that it might be of use more generally.
You can download it here.