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There are hundreds (if not thousands) of free data sets available, ready to be used and analyzed by anyone willing to look for them. Below is a list of some of the most globally interesting I have come across, but there are many, many more in many different niches.

Awesome Public Datasets
Awesome Italian Public Datasets
Mozilla Data Stewardship Landscape Scan
Data.gov The US Government pledged last year to make all government data available freely online. This site is the first stage and acts as a portal to all sorts of amazing information on everything from climate to crime.
US Census Bureau A wealth of information on the lives of US citizens covering population data, geographic data and education.
European Union Open Data Portal As the above, but based on data from European Union institutions.
Data.gov.uk Data from the UK Government, including the British National Bibliography – metadata on all UK books and publications since 1950.
Datacatalogs.org offers open government data from US, EU, Canada, CKAN, and more.
The CIA World Factbook Information on history, population, economy, government, infrastructure and military of 267 countries.
Healthdata.gov 1- years of US healthcare data including claim-level Medicare data, epidemiology and population statistics.
NHS Health and Social Care Information Centre Health data sets from the UK National Health Service.
UNICEF offers statistics on the situation of women and children worldwide.
World Health Organization offers world hunger, health, and disease statistics.
Amazon Web Services public datasets Huge resource of public data, including the 1000 Genome Project, an attempt to build the most comprehensive database of human genetic information and NASA’s database of satellite imagery of Earth.
Facebook Graph Although much of the information on users’ Facebook profile is private, a lot isn’t – Facebook provide the Graph API as a way of querying the huge amount of information that its users are happy to share with the world (or can’t hide because they haven’t worked out how the privacy settings work).
UCLA makes some of the data from its courses public.
Data Market is a place to check out data related to economics, healthcare, food and agriculture, and the automotive industry.
Google Public data explorer includes data from world development indicators, OECD, and human development indicators, mostly related to economics data and the world.
Junar is a data scraping service that also includes data feeds.
Gapminder Compilation of data from sources including the World Health Organization and World Bank covering economic, medical and social statistics from around the world.
Google Trends Statistics on search volume (as a proportion of total search) for any given term, since 2004.
Google Finance 40 years’ worth of stock market data, updated in real time.
Google Books Ngrams Search and analyze the full text of any of the millions of books digitised as part of the Google Books project.
National Climatic Data Center Huge collection of environmental, meteorological and climate data sets from the US National Climatic Data Center. The world’s largest archive of weather data.
DBPedia Wikipedia is comprised of millions of pieces of data, structured and unstructured on every subject under the sun. DBPedia is an ambitious project to catalogue and create a public, freely distributable database allowing anyone to analyze this data.
New York Times Searchable, indexed archive of news articles going back to 1851.
~~Freebase, a community-compiled database of structured data about people, places and things, with over 45 million entries~~. Deprecated
Million Song Data Set Metadata on over a million songs and pieces of music. Part of Amazon Web Services.
UCI Machine Learning Repository is a dataset specifically pre-processed for machine learning.
Pew Research Center offers its raw data from its fascinating research into American life.
The BROAD Institute offers a number of cancer-related datasets.

Awesome Public Datasets

Awesome Italian Public Datasets

Mozilla Data Stewardship Landscape Scan

Data.gov

US Census Bureau

European Union Open Data Portal

Data.gov.uk

Datacatalogs.org

The CIA World Factbook

Healthdata.gov

NHS Health

Social Care Information Centre

UNICEF

World Health Organization

Amazon Web Services public datasets

Google Public data explorer

National Climatic Data Center

DBPedia

New York Times

Deprecated

Million Song Data Set

UCI Machine Learning Repository

Pew Research Center

The BROAD Institute

Astronomy

SDSS, The Sloan Digital Sky Survey: Mapping the Universe
The European Space Operations Centre (ESOC) operates a number of ground-based space-tracking stations for the European Space Agency (ESA), known as the European Space Tracking (ESTRACK) network.
SSA Space Weather Service Network, a dashboard which provides a snapshot of the current space weather conditions based on the latest products from the SWE Network.
ESA images archive
Minor Planet Center, the single worldwide location for receipt and distribution of positional measurements of minor planets, comets and outer irregular natural satellites of the major planets. The MPC is responsible for the identification, designation and orbit computation for all of these objects. This involves maintaining the master files of observations and orbits, keeping track of the discoverer of each object, and announcing discoveries to the rest of the world via electronic circulars and an extensive website. The MPC operates at the Smithsonian Astrophysical Observatory, under the auspices of Division F of the International Astronomical Union (IAU).
ESA Sky, a Universe Map
Nasa Space Science Data Coordinated Archive, NASA's archive for space science mission data
Moon map and data, by Observatorio ARVAL
Planetary nomenclature by IAU
SOHO data, data from Solar and Heliospheric Observatory
various NASA images
Chronology of Lunar and Planetary Exploration
ESA Missions list

This is really just the tip of the iceberg. Many websites, apps, and companies that offer an API provide access to the data they collect through that API.

SDSS

ESTRACK

SSA Space Weather Service Network

Nasa Space Science Data Coordinated Archive

Moon map and data

Observatorio ARVAL

Planetary nomenclature

IAU

SOHO data

Solar and Heliospheric Observatory

various NASA images

Chronology of Lunar and Planetary Exploration

ESA Missions list

Forward-thinking companies that may not have the resources to begin collecting their own data right away can access this publically available data and begin asking the right questions and getting answers right away.