For example, the data at basketball-reference is useful, and it's fantastic that I can format individual tables as CSVs. However, it's difficult to get in a format where you're looking at differences between players in any sort of meaningful way; you have to download each player's table one at a time, then do some excel work to make it workable. It would be great if there were some sort of downloadable database with player statistics. Indeed, one existed, but it's only updated through 2009 (databasebasketball.com).
I would suggest one thing: go to the league summary pages at B-R, such as here: http://www.basketball-reference.com/lea ... otals.html
If you hover your mouse over the "Stats" tab at the top, you can toggle between Totals, Per 36, Per Game, etc. That's a lot faster than going player by player, and everything on those pages can also be grabbed in csv form. If all you were looking for was player data over the last 20 years, that could be done much faster using these pages. You can also establish data connections through Excel.