As seen in this webinar, it is now possible for Professional Services clients to import data from the extensive Quandl database directly via API, much of which is free. Non-pro clients will also be able to import the data but will need to download and format .csv files first.
See our KnowledgeBase article for more information on connecting to Quandl.
Examples of some of the symbols and data available from the FRED database (feel free to add your own in the comments):
DGS6MO.FRED - 6 month US Treasury Yield
DGS1.FRED - 1 year
DGS5.FRED - 5 year
DGS7.FRED - 7 year
UNEMPLOY.FRED - US Unemployment Level
STLFSI.FRED - St Louis Financial Stress Index
London Metal Exchange database:
PR_TN.LME - Tin Prices
PR_PB.LME - Lead Prices
Ken French database:
FACTORS_M.KFRENCH - Fama/French Factors (monthly)
University of Michigan database:
SOC1.UMICH - Index of Consumer Sentiment