FWIW the greater Department of Labor (of which the BLS is a subordinate unit) has a pretty okay web API with several "SDKs" (most of which are API wrappers for particular languages). Weirdly, no Python wrapper yet but I wrote one, as well as another for Clojure
"This Dataset contains historic data (last 10 years) for the most common economic indicators. More information and details about the data provided can be found at http://bls.gov
https://github.com/mattdeboard/python-usdol https://github.com/mattdeboard/clj-usdol
edit: A couple of the BLS's databases are available through the DOL API:
http://developer.dol.gov/BLS_Numbers-DATASET.htm
"This Dataset contains historic data (last 10 years) for the most common economic indicators. More information and details about the data provided can be found at http://bls.gov
http://developer.dol.gov/DOL-BLS2010-DATASET.htm
"The Bureau of Labor Statistics produces occupational employment and wage estimates for over 450 industry classifications at the national level."
That last one is actually a pretty interesting dataset. I pulled it to tinker with at work last week.