The U.S. Energy Information Administration (EIA) current and historical statistics for domestic and international energy (Excel)
International Energy Agency (IEA) is an international source for information on coal, oil, natural gas, and electricity.
CME Group NYMEX trade information for oil, gas, coal and biofuels.
BP Statistical Review of World Energy 2020 provides world energy statistics on reserves, production/consumption, and prices for oil, natural gas, and coal. Consumption statistics available for nuclear and alternative/renewable energy.
AAA Daily Fuel Report posts current and historical (up to one year ago) daily gas pump prices
Energy.gov Energy datasets and developer tools from multiple government sites. Examples of datasets include Annual Fuel Economy, Annual Green Vehicle Guide, Energy Star portfolio manager, prices and production.