Possibly the hardest data you can get is the details about every individual trade on MtGox. Using the API you can get the trades and then build any derived information you'd need. The data is complete except for the depth information which would be of little use compared to the sheer size.

Mt.Gox currently dictates the price, being the biggest market, but you could certainly splice in additional information from other markets as well.

This is probably the best source:

http://bitcoincharts.com/markets
http://bitcoincharts.com/charts