Here's a list of the most important economic indicators:

Non-Farm Employment Change (Non-Farm Payroll, NFP)
The effect of these numbers has already been discussed here

Gross domestic product (GDP)
It is the total end value of all goods and services produced within a country or a particular geographic area (e.g., the Eurozone) for a period of time (usually measured on a quarterly or annual basis). GDP indicates the speed at which the economy is growing or shrinking.

Industrial production
It measures the change in the production of factories, mines and utility companies (energy, water, etc.) giving an overview of industrial capacity and to what extent it is used. Manufacturing represents about one quarter of the economies of the countries with the most traded currencies.

Purchasing Managers Index (PMI)
This is an indicator of economic activity. Purchasing managers from companies in various sectors of the economy are polled on whether they see better business conditions in the current month compared to the previous one. If more than 50% of the managers come out optimistic, it is believed that the economy is growing. In other words, if the PMI is over 50, this means that the economy is growing. If it is below 50, the economy is supposed to be shrinking.

Producer Price Index (PPI)
This one measures changes in the average sale prices in the manufacturing, agriculture, mining and energy sectors.

Consumer Price Index (CPI)
The CPI measures the average prices of a basket of goods and services that urban consumers pay. (Urban consumers are approximately 80% of the population of developed countries).

Durable Goods Orders
This is a measure of the value of orders of durable goods (i.e. goods whose shelf life is at least 3 years, for example, cars, household appliances and other). When the economic situation of the country is not good, individuals and companies delay purchases of durable goods, so the Durable Goods Orders numbers are a useful measure of a certain type of consumer demand.

Building Permits and Housing Starts
Data on construction starts indicate the number of residential units, whose construction has begun during a given month. Housing start is defined as the excavation and laying the foundations of a residential unit (house, condominium, etc.). Residential properties are usually the first sector of the economy that responds to changes in interest rates. An increase in building permits and housing starts occurs several months after the reduction in interest rates on mortgages (housing loans). Significant differences between this piece of data and data for previous months may portend that a peak or bottom of interest rates has been reached.