In the US, the Census Bureau has a ton of data available, including the popular TIGER shapefiles for every state, county and other administrative area in the US. If you are looking to geocode a large amount of local data, these files can really reduce the time by allowing you to do most of the work locally.
We have detailed instructions on geocoding with TIGER/Shape files (and for those working with older data, a similar article on TIGER/LINE files) that can help you quickly become an effective geocoder.
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