The following datasets are originally retrieved from statistical organizations and published using the Linked Data design principles. Each have a VoID file which you can be use to discover the datasets and datadumps. Their respective SPARQL Endpoints allow SPARQL 1.1 Queries. The URIs can be dereferenced in HTML, Turtle, RDF/XML and JSON formats.

• World Bank
• Transparency International
• OECD (Organisation for Economic Co-operation and Development)
• BFS (Bundesamt für Statistik - Swiss Federal Statistics Office) - contains only the classifications at this time.
• FAO (Food and Agriculture Organization of the United Nations)
• ECB (European Central Bank)
• IMF (International Monetary Fund)
• UIS (UNESCO Institute for Statistics)
• FRB (Federal Reserve Board)
• BIS (Bank for International Settlements)
• ABS (Australian Bureau of Statistics)

Getting started: http://worldbank.270a.info/ and http://transparency.270a.info/ have their own documentation that's sufficient to dive into. The other datasets are explained at http://csarven.ca/linked-sdmx

VoID is a vocabulary used to describe datasets (what they contain etc.): see https://www.w3.org/TR/void/ and http://semanticweb.org/wiki/VoiD

• World Bank's VoID: http://worldbank.270a.info/.well-known/void
• Transparency International's VoID: http://transparency.270a.info/.well-known/void
• OECD's VoID: http://oecd.270a.info/.well-known/void
• BFS's VoID: http://bfs.270a.info/.well-known/void
• FAO's VoID: http://fao.270a.info/.well-known/void
• ECB's VoID: http://ecb.270a.info/.well-known/void
• IMF's VoID: http://imf.270a.info/.well-known/void
• UIS's VoID: http://uis.270a.info/.well-known/void
• FRB's VoID: http://frb.270a.info/.well-known/void
• BIS's VoID: http://bis.270a.info/.well-known/void
• ABS's VoID: http://abs.270a.info/.well-known/void

Respective SPARQL Endpoints: http://example.org/sparql

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