The Washington and Lee University Library is a selective Depository for U.S. Federal Government Publications, as is the W&L Law Library.

Thus, tens of thousands of U.S. Government publications (both printed and online) can be located via Annie, the W&L library catalog, such as this example.

AGENCY SITES

Much of what the Federal Government publishes online is available directly and without-charge from agency sites.   (See this list from USA.gov.)

If you are not sure which agencies deal with a given topic, you can get suggestions from the Government Printing Office and/or USA.gov. 
And the W&L library has its own list of recommendations.

Federal watchdog agencies might be of particular interest to students and other researchers.

SEARCH TOOLS

There are several search engines which focus on finding information currently on some or "all" Federal Government sites. 
There also are some projects devoted to preserving digital access to historical materials which might not otherwise be available online. 
Sometimes the content created by one office/agency/department can be scattered into several resources, such as Presidential documents.

Here are the two fundmental Federal Government search tools from the U.S. Government Printing Office:

Catalog of U.S. Government Publications

Basic finding tool for publications -- online, printed, etc. -- from a wide range of agencies, some dating back to the early 20th century.

Federal Digital System

Developing (2010- ) gateway to official U.S. Federal Government publications, available in digital form.

Since so much government information is in the public domain, private publishers usually are free to package and sell that information.  Some common examples include financial information on companies, population data, and weather forecasts.

In some cases, commercial publishers create databases which do an excellent job of finding and retrieving information originally created by the Federal Government.  Some examples:

Statistical Abstract of the United States

Published annually since the 19th century, this probably is the single most useful published collection of statistical information on virtually all aspects of life in the United States, with selected international data.

ProQuest Congressional

Access to nearly every document ever created by Congress, including committee hearings. 
(For comparison, here is an example of recent hearings directly from a Senate committee Web site.)

ProQuest Statistical Insight

References to tens of thousands of data sources from the U.S. Federal Government, U.S. state governments, international intergovernmental organizations, and private sector groups, such as trade and professional associations. 

Ancestry Library Edition

Billions of records in census data, vital records, directories, photos, and more from North America, the U.K., Europe, Australia, and more.   Here is an example of a Decennial Census page (now stored in the National Archives).