I haven't done any work using historical data, but I must say I am intrigued! This IZA paper describes some of the most commonly used data sources (well, by economists). They are broadly classified as geographical data, ethnographic data (really cool!!!) and Censuses. For each group, the authors "outline the issues they raise and also point out which methodological advances allow economists to overcome or minimize these problems."
If you're a history buff and you're looking for a dissertation topic, take a peek.