AskArt.com - auction price information going back to the late 20th century.\
Blouin Art Sales Index Over 3.5 million auction records for paintings, prints, photographs, sculpture, works on paper, and miniatures dating back to the 1920s. Over 200,000 artists from more than 500 auction houses worldwide are represented.
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Getty Provenance Index https://www.getty.edu/research/tools/provenance/search.html - Collection of digitally transcribed art sales records. Best for historic research. Includes:
Dictionnaire des ventes d'art faites en France et à l'étranger pendant les XVIIIme & XIXme siècles HathiTrust and in print (see below)
Scipio - library catalog record for (essentially) every auction catalog in the world. No enduser data, however. Useful for tracking down sales and provenance from records not digitized. Most catalogs could be obtained through Document Delivery.
SEE 'AUCTION HOUSES' TAB FOR INDIVIDUAL AUCTION HOUSE INDEXES ONLINE
Fee-based (though some info is free)
International auction records. Vol.  (1967-1996). [Paris] Editions Mayer. Lilly N8640 .I5 - all media. Each volume is a single year of auctions.
World collectors annuary (WCA). Vol. 1 (1946/49)- 1995. Delft, Brouwer. Lilly ND47 .W6 - best retrospective data for 20th century. Paintings only.
“The Mireur Dictionary“ (Dictionnaire des ventes d'art faites en France et à l'étranger pendant les XVIIIme & XIXme siècles) Library Service Center N8675 .M6 1911 and full-text HathiTrust. Series containing Art Sales from the 18th and 19th century (focus on France). Sorted by artist, it provides both the prices and names of buyers.
Davenport’s art reference & price guide. 8th ed., 1996/97 Folsom, Calif. : Davenport’s Art Reference, c1994. Lilly Reference N8675 .D38 1994 - wide variety of media and geographical auctions. Unfortunately, Duke only holds a few years, most complete run is at UNC Chapel Hill.