United States: ACCRA
This is a proprietary data source of retail prices in U.S. cities. It covers the period 1990:Q1-2007:Q4 (totally 72 quarters) and is currently updated quarterly by the firm that is responsible for the survey. There are 632 cities and the sample consists of 75 goods.
Information about the data and its availability is found here: http://www.coli.org/
This data or subsets of it have been used in the following academic papers:
Parsley, David C, and Wei, Shang-Jin. 1996. “Convergence to the Law of One Price without Trade Barriers or Currency Fluctuations.” The Quarterly Journal of Economics, 111(4): 1211-36.
Parsley, David C, and Wei, Shang-Jin. 2001. “Explaining the border effect: the role of exchange rate variability, shipping costs, and geography.” Journal of International Economics 55 (2001) 87–105.
Dumond, Michael J., Hirsch, Barry T. and Macpherson, David A. 1999. Wage Differentials Across Labor Markets And Workers: Does Cost Of Living Matter? Economic Inquiry 37(4): 577-598