More specifically, I'm looking for a online database of US economic statistics that is regularly updated. Most of my searches result in older data, that is not particularly useful for what I need it for. I'm needing to make many cross references with it, for instance, comparing the unemployment rate of two cities/regions.
St. Louis Fed: https://fred.stlouisfed.org/
Has very good US data.
I am not aware of a database that systematically aggregates city-level data. I recommend state government sites and, for larger cities, city government sites.
Also check out quandl.com. The data from the Fed and World bank type of organizations is usually free and updated regularly, as with most of the public economic data. There are other more curated types of sources which are "premium" and range in prices. To download data you will need an account but its super easy and free. (just username, email address and password, nothing else. You can even use your linkedin or google account)
There are also more data sets being added all the time. With that said, just a suggestion, use the search function if you know what your looking for, if you just use the filters you'll get a return of dozens of pages long.
It's my favorite data source for Fed data. Here's a link to the Fred data: https://www.quandl.com/data/FRED-Federal-Reserve-Economic-Data
While it doesn't look like it at first, the Fred database list above is several 1000's of pages long. A total of 339,641 Fred data sets, all for free! Not to mention other free databases or premium content.
I'm not paid by quandl.com in anyway, just a big fan of the site and use it as much as I can.