There are plenty of financial and economic data which can be used in Machine Learning and Data Mining exercises. Here is list of mine:
FRED - Federal Research Economic Data.
CRSP - Center for Research in Security Prices
Ken-French - Fama-French 3-factor model data
John Cochrane - Data and Programs, Liquidity factor, Grumpy Economist.
Robet Shiller - Online data, and other research data.
Web Scraping is the new way to get the free "real-time" data.:)
Here is introduction given by Christopher Reeves.
Python (urllib, re, scrapy) and R(quantmod) are my favorite languages for FIN/ECON data scraping.