Heidi Lam's list of time-series datasets

Exchange rate
-------------
Bank of Canada has 10 years of exchange rates data from 
1995 - 2005 available in CVS format 
(http://www.bankofcanada.ca/en/rates/exchange-look.html).  There are quite 
a few missing points for interesting sounding currency, and our Loonie is 
not really as bad as I originally thought :)

Weather data
------------
Environment Canada provides daily temperature, precipitation, daily snow 
fall and snow-on-the-ground data for tons of 
locations in Canada, available in ISO format, so you need to burn it to a 
CD first before using it, 
http://www.climate.weatheroffice.ec.gc.ca/prods_servs/cdcd_iso_e.html). 
If you are interested, I also have a metadata table that has stationID 
with longitude, latitude, elevation and time zone information.  The catch 
is, you need to export the files station-by-station.  Some interesting 
trends I found was the huge effects of the rocky mountains.  In terms of 
temperature, if you sort the data by latitude, most of the cities in BC 
sticks out as warmer than the rest unless it is way up north like Port 
Nelson.

For a more international viewpoint, here is another database managed by 
Dayton U: http://www.engr.udayton.edu/weather/

Financial data
--------------
7 NYSE indice is available in CVS form, from various starting point (1996 
or 2003, depending on the indice) to current: 
http://www.nyse.com/marketinfo/indexes/mkt_indexes_nyse.shtml  If these 
numbers are indicative of anything, life seems to be getting better since 
2003.

Scientific/Medical data
-----------------------
ASU thermal emission spectral library: http://tes.asu.edu/speclib/
thermal infrared (2000 - 380 cm-1) emission spectra of over 150 pure 
minerals, with an emphasis on common rock-forming minerals.  Diligent 
students can link it to the recent MARS missions.

EEG data:
http://sccn.ucsd.edu/~arno/fam2data/publicly_available_EEG_data.html
of people and rats performing tasks (for people) or being shocked (for 
rats).  Included are Brain Computer Interface competition data.  These are 
very noisy data though.