This question dovetails with this post on geomarketing applications.
I am familiar with some of larger, paid-for business registry's like InfoUSA and Dunn & Bradstreet. While the detailed information their business listings database include (like # of employees, annual sales, industry code, etc) is fantastic, if you are on a limited budget, sometimes the cost of purchasing the data outweighs the value you can get from it. If you have geocoding capabilities in house, one could potentially create a reasonable surrogate by spatially-enabling (geocoding) a publicly available business listing on your own.
If you were looking to take on this type of project, where would you start your research? Do you know of US agencies at a State or National level that maintain this type of information, AND are publicly available for download or minimal purchase?