Depending on your project you may need to create your own data, or obtain is by request from a local government agency. However, there's a lot of data out on the web for free. Much of it is created and provided by government entities, some is provided by universities or data clearinghouses that gather many sources of data in one place.
For information on Census data, see the U.S. Census Information Guide.
Here are some sources to get you started, but they are just the tip of the iceberg!
Whatever area of the country (or world) you're interested in there are local entities (governmental, non-governmental and quasi-governmental) that collect and make data available. Search for local governments, community development organizations, regional planning commissions or government organizations, etc. Below are a few resources for data and statistics on the St. Louis Region.