The Office for National Statistics (ONS) in the UK makes various data sets publicly available on their website. This includes a number of time series that could be useful for learning about different statistical models for time series data.
There are the following book reviews on this website:
Book Review – Modern Applied Statistics with S by W. N. Venables and B. D. Ripley (Springer 2003)
Book Review – ggplot 2: Elegant Graphics for Data Analysis by Hadley Wickham (Springer 2009)
Book Review – Lattice: Multivariate Data Visualization with R by Deepayan Sarkar (Springer 2008)