This page gives some links to various websites on which you can find free datasets. We use some of these datasets ourselves, for testing methods and for teaching.
KDnuggets: large datasets for dataminig projects
Rdatasets: an archive of datasets distributed with R
Population of France communes since 1062
osmar-package : geographic elements of OpenStreetMap via its API.
Global Terrorism Database (OK it’s not funny)
R packages for dealing with data
Stackexchange : Data APIs/feeds available as packages in R
New York Times: RNYTimes R package