US Bureau of Economic Analysis Homepage

The BEA provides GDP and economic accounts data. There is price index data in the National Income and Product Accounts Tables, but only at the national level.

U.S. Bureau of Labor Statistics Homepage

The BLS has an almost bewildering array of data categories on its homepage. A good place to sort things out is on the Programs & Surveys description page.

Prices data can be found as part of the Consumer Price Indexes,
Producer Price Indexes,
Import/Export Price Indexes,
Consumer Expenditure Survey

ACCRA (formerly the American Chamber of Commerce Researchers Association) produces a quarterly Cost of Living Index for over 300 cities nationwide. It's not free, but information can be found at http://www.coli.org/.

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