The following data sets are from Jon Cryer's text, Time Series Analysis. The text is not currently in print, but you can probably find a copy if you look hard enough. Data descriptions can be found in the individual files.

• bja.dat Box & Jenkins Series A
• bjb.dat Box & Jenkins Series B
• bjc.dat Box & Jenkins Series C
• bjd.dat Box & Jenkins Series D
• bje.dat Box & Jenkins Series E
• milkpr.dat Milk production in pounds per cow per month
• airpas.dat Monthly U.S. air passenger miles
• icbus.dat  Weekday bus ridership, Iowa City
• iowainc.dat Iowa non-farm income per capita
• portbus.dat Portland, Oregon average monthly bus ridership
• portgas.dat Portland, Oregon monthly average gasoline price
• tempdub.dat Average monthly temperatures in Dubuque, Iowa
• unemp.dat U.S. quarterly unemployment rates (seasonally adjusted)

The data files are set up for use with Minitab. If you want to use these in R, you can, for example, read a file this way:

x = scan("/mydata/airpas.dat", comment.char = "#")