The Bureau of Labor Statistics Web site (http://stats.bls.gov) posts lots of U.S. labor numbers including the Consumer Price Index, the Producer Price Index, employment and unemployment figures, etc. If what you need isn't there, the Bureau also puts out "Bulletins" reporting the CPI and many other interesting and useful statistics. The BLS also publishes Detailed CPI Report and others materials, all sold by the GPO for cheap.
Also, BNA's Daily Labor Report runs a wide variety of employment-related statistics in the back of each issue. To find what you need, look in the index(es) at the end of each volume.
Many of the key labor statistics (e.g., average annual pay by state, unemployment, employers with pension plans, etc.) are included in the American Jurisprudence 2nd Desk Book.
Good sources for statistics on wages are:
(1) v1, tab 10, of Collective Bargaining: Negotiations and Contracts
(2) The Employment Cost Trends page posted by the U.S. Department of Labor, Bureau of Labor Statistics
(3) The U. of Michigan's collection of Cost of Living statistics
To get EEOC Charge Data (e.g., how many sexual harassment claims were filed with the EEOC in 1996), call the EEOC's Office of Communications and Legislative Affairs.