Demographic information about the general public, such as population, age, health, education, and income levels are generally collected by the U.S. Census Bureau. While the Census Bureau collects a lot of different types of info, they do not collect everything.
The best ways to find data sets within the Census Bureau are in the Statistical Abstract of the United States, published since 1878. These are the authoritative and comprehensive summary of statistics on the social, political, and economic organization of the United States.
Use the Abstract as a convenient volume for statistical reference, and as a guide to sources of more information both in print and on the Web. Sources of data include the Census Bureau, Bureau of Labor Statistics, Bureau of Economic Analysis, and many other Federal agencies and private organizations.