What topics do you need?
What unit of analysis do you need?
What geographic unit do you need?
What time period/years do you need?
Knowing what you need is an important first step. Don't skip it! You need to have a strong idea of the specific data needed to answer your research question. Come meet with a librarian.
Who would collect this data?
When searching for data, think carefully about what organizations might have collected the data you need. Governments and international organizations often maintain and provide access to the data they collect, while businesses and independent researchers' data are less available to the public. For the later, subscriptions to data archives and business databases are sometimes a solution.
Here are some possible data collectors to consider:
Business & Trade
Don't ignore the scholarly literature (books & articles). Bibliographies and existing research may help you identify what types of data are available, and where to access them.
Newest New Yorkers - Characteristics of the City's Foreign-Born Population (published in 2013).
You can find more recent data by neighborhood and or CD in the other resources on this Guide, just search by foreign-born population.
The US Census' Database American FactFinder - access to data about the US from several censuses and surveys.
Here's an additional list of Data Resources and Tools from the US Census Bureau
Check out this PPT from the Census staff called How to Use American Community Survey (ACS) Geodatabase Files and ArcMap
For help, contact the US Census' Data Dissemination Branch at: email@example.com, 301-763-2032
U.S. Congregational Membership: County Reports from the Association of Religion Data Archives. Most recent data is from 2010, and the report is published every 10 years.
Note: The U.S Census does not collect data on religion