There's lots of financial data available on yahoo, for example, but it's just lousy quality.
http://finance.yahoo.com/quote/THB=X/?p=THB=X
You see the graph on the right, it hovers around 30 USD/THB (that's 30 THB per USD, in somewhat confusing FX convention).
Now click on 5Y, then click on 10Y, and compare. The 10Y graphs probably includes some wrong blip around 700, which is why the 10Y graph scale is from 0 to 750, and you just see a basically flat line displayed at the bottom.
(The 10Y PHP graph is fine, while the 10Y INR graph has a similar issue).
So, if you do any trading strategy where you're trying to figure out whether your current value is relatively high or low by comparing it to the 10Y max and min, you'll most likely be off.
Or consider equity, for example. To properly deal with shares, you first need the trading calendar for every exchange (when is the exchange open and you can make a trade), and the settlement calendar (when will the shares actually be settled). US settlement is typically T+3, Europe T+2, UK Gilts T+1, but all according to certain calendars, naturally. These calendars vary by country, and even exchange and even function (in other words, there might be days when shares at a certain exchange trade, but don't settle, and vice versa).
Bloomberg has all these details - good luck finding it on Yahoo or anywhere else, really.
To get from raw data to data you can use can be a hard, tedious and difficult slog. I agree that it's often undervalued. On the other hand, with Bloomberg you certainly pay for it! :-)
And don't get me started with corporate actions (stock splits, mergers), dividends (some jurisdictions announce gross divs, Australia announces net divs; Korea announces AFTER the ex-date; some shares pay a dividend in a ccy different from the ccy the shares are denominated in, etc.), unscheduled exchange closures (due to terrorism, typhoons, etc.), stamp duty and taxes, 1 week holidays for Chinese New Year that screw up the rate curve (because 1d and 1w LIBOR cover the same period), quanto futures, etc.
2.5 hours in the morning (10:00 to 12:30), 1.5 hours in the afternoon (14:30 to 16:00), who needs more than 4 hours trading a day?
Shame they extended it in 2011.