One good place to find sub-national statistics is the OECD’s Territorial Database (TDB). Below is the metadata from the database’s home page.
The page opens in frames that can be rather confusing. I’ve found it most convenient to follow the link in the lower frame, then click the image that says “query.”
See the TDB Sources and Methodology document. Also helpful is the October 2003 statistics brief Measuring Regional Economies.
Description: The OECD Territorial Database provides internationally comparable indicators on key socio-economic issues at the regional level.
Subject: The database covers: population, ageing, GDP per capita, employment by main industries, unemployment rates by age and sex.
For more information, see the Map of Regions, which shows the OECD regional typology and data sources, and the web site for the Directorate for Public Governance and Territorial Development and the topical site on Territorial Economy.