i've searched all over for good data cheap. if you're a programmer i suspect you can scrape a lot of that data from some sites that provide end of day data in HTML format. if not, go to norman's historical data (i think it's normanshistorical.com, but you can google).
they sell vast datasets for a damn good price - usually $15 a pop. I bought a couple sets last week, and am more or less satisfied, although I question their AUD CME data. lack of gaps makes it seem more like forex than pit-traded futures data.