Whether you're looking for new home sales, existing home sales, median prices or foreclosure information, there are several free resources to offer assistance when researching housing data. The US Census Bureau's Economic Indicators site has information on new home sales, building permits, Home Ownership Rates (HR), Rental Vacancy Rates (RVR) and Homeowner Vacancy Rates (HVR). They also have a page for New Residential Sales Index and as part of the 2011 Statistical Abstract, you can find Construction & Housing: Housing Sales providing such data as Price Indexes of New One-Family Houses Sold, by Region or Existing One-Family Homes Sold and Price by Region.
RealtyTrac provides statistics and trends for foreclosures across the country. You can find things like foreclosure activity counts, a national Foreclosure Rate Heat Map, foreclosure average prices and top foreclosure cities (1. Las Vegas 2. Chicago 3. Phoenix 4. Miami 5. Los Angeles).
The National Association of Realtors also provides housing statistics including things like Existing Home Sales, Pending Home Sales, Metropolitan Area Prices, State-Existing Home Sales and the Housing Affordability Index.
You can also find information specific to your own state. For instance, in Texas, the Texas Controller's Office publishes the Comptroller's Economic Outlook which includes housing statistics specific to Texas. State Universities can be a wealth of information, as well. The Real Estate Center at Texas A&M University provides "Residential home sales, listings, price activity and affordability for over 40 Texas metropolitan MLS (Multiple Listing Service) areas."
Not only do these sites provide great information, several of them package it for you, as well. So if you're looking for a pre-made PDF chart or an Excel sheet with all the data, sometimes they've done the work for you. Got other housing data sites you love? Tell us about them in the comments.