In my research, I frequently work with the following data sets. I will be glad to share my experience or answer any questions about working with these data.
The National Association of Insurance Commissioners (NAIC)'s database- an extremely rich repository of financial statements of US insurers.
Motor vehicle crash level data from police reports for 22 US states- compiled from a mix of sources (data requests to DoTs/research centers, web downloads and scraping).
National Digital Forecast Database (NDFD) provides historical and current gridded forecast data of most weather elements.
Iowa Environmental Mesonet (IEM) database of the archived Watch, Warnings, Advisories issued by the National Weather Service.
Global Historical Climate Network (GHCN) database of weather station observations.
PRISM Climate Group's time series dataset for weather elements (gridded data) since 1981.