Statistical Modelling in GLIM by Murray Aitkin, Dorothy Anderson, Brian Francis and John Hinde. Datasets and macros. See first the table of contents of available data sets. Local copy . Data from the book.
Some data sets are classics.
Many others do not yield to standard analyses. Also available by ftp from the University of Toronto or UCLA , including the whole collection as a compressed tar file. Dr B's Wide World of Web Data. Links to hundreds of data sets, organized by subject matter. John Behrens, Arizona State University.