The Federal CIO Coucil has just launched Data.gov, a site that brings all federal data into one searchable place. You can directly download xml, csv, kml/kmz, and shp files and find links to tools for finding other data.
Here are some more details from the White House press release:
"Created as part of the President's commitment to open government and democratizing information, Data.gov will open up the workings of government by making economic, healthcare, environmental, and other government information available on a single website, allowing the public to access raw data and transform it in innovative ways.
Such data are currently fragmented across multiple sites and formats—making them hard to use and even harder to access in the first place. Data.gov will change this, by creating a one-stop shop for free access to data generated across all federal agencies. The Data.gov catalog will allow the American people to find, use, and repackage data held and generated by the government, which we hope will result in citizen feedback and new ideas.
Data.gov will also help government agencies—so that taxpayer dollars get spent more wisely and efficiently. Through live data feeds, agencies will have the ability to easily access data both internally and externally from other agencies, which will allow them to maintain higher levels of performance. In the months and years ahead, our goal is to continuously improve and update Data.gov with a wide variety of available datasets and easy-to-use tools based on public feedback and as we modernize legacy systems over time.
Democratizing government data will help change how government operates—and give citizens the ability to participate in making government services more effective, accessible, and transparent."