Most countries publish an annual statistical compilation; some began as early as the mid-19th century. Princeton University Library has a very large collection of statistical yearbooks for many countries. In general, the current volumes can be found in on A floor near the librarians' offices. The official location is DSS (Data & Statistical Services). Older volumes are in the Firestone stacks and/or on microfiche. To find statistical yearbooks for countries not listed in this guide, do a Subject search in the Main Catalog for [name of country] statistics periodicals.
For the United States and Great Britain, it is also worth checking for statistics in other government documents. The convenient starting points are: