Natural Earth is a great site for a variety of natural and socio-political datasets such as rivers, roads, boundaries, on a global scale. Includes large scale sets (detailed) and small scale (generalized) data. Natural Earth data is optimized for cartography.
Boundary and administrative data with select US Census demographic data. Shapefiles have demographic data pre-joined; Geodatabases come with features (i.e. shapes) packaged with Census data tables. Caveat: table headings are not descriptive --you'll have to refer to a codebook to know which variables are which.
(CU Boulder users only) Social Explorer contains downloadable U.S. Census data tables. The advantage of Social Explorer is its easy to use interface. Tables can be downloaded then joined to geospatial data.
Contains U.S. population, housing, industry, and business data. Can be accessed by dataset or topic. Tables can be downloaded and joined to geospatial data. Basically the same data that can be found in Social Explorer.
Provides pre-2000 U.S. Census data (American FactFinder only contains the two most recent censuses plus ACS data). Aggregate census data and GIS-compatible boundary files for the United States between 1790 and 2013.