If you are a storyteller looking to build up your number crunching side, you have to become comfortable with data and large amounts of data pulling you in different directions. To play Moneyball, you need to get access to this data and learn to work with it. I don't have the time, the resources or the inclination to be a raw data provider but I would glad to give you a helping hand.
Updated Data (Sector and Market)
At the start of every year, I use the raw data that I have on individual companies (and I am lucky enough to have access to the data) and convert that raw data into usable statistics classified into groupings. The principal one is industry averages of risk parameters (standard deviations, betas), operating performance (growth, profitablity, leverage etc.) and pricing statistics (numbers like PE ratios, EV to EBITDA multiples). I also report market numbers for equtiy risk premiums and country risk. You can find the data from the start of the most recent year by going to this link. You will also find archived data from prior years at this link.
I steer away from providing company-level data for two reasons. First, I risk stepping on the toes of my raw data providers without whom I can do very little. Second, the data that I provide will get dated almost instantaneously as new financial statements are filed. Third, getting individual company data is no longer a chore. In fact, with publicly traded companies, visiting the website for the company will give you access to annual reports and quarterly filings. I have no qualms about using online data sources (Yahoo! Finance, Google Finance, MarketWatch, Morningstar), many of which are free, but I try to cross check numbers against the company's own filings.
To get macro data, I would suggest the following sources (and I am sure that you can find more to augment this list).