Global Entrepreneurship Monitor (GEM): GEM is a consortium of academic institutions responsible for collecting data and producing reports.  Their site provides reports and data on a wide range of topics related to entrepreneurship collected for dozens of countries. Navigate directly to the Data section to run custom reports for variables across countries over time.

World Bank Entrepreneurship Database: data relating to business formations and closures across 180 economies going back to 2006.  The database also includes gender statistics for 95 economies to assess the gap in female and male entrepreneurship.

OECD Entrepreneurship Data: variety of data series relating to entrepreneurship for OECD members. Good historical coverage.