Blouin Art Sales Index - Best data available through a Duke database on auction sales.
AskArt - Auction information combined with image sources.
Newspapers - newspapers are very important for reading exhibition reviews, tracing media coverage of art or artists, popular reception to art and tracing works of art.
NexisUni - newspaper articles from the late 1980s onward (depending on the newspaper). Separate search for European dailies is also excellent.
America's News - search American newspapers by region of the country or individual newspaper. Great for seeing how an art show was reviewed in rural America.
Frequently historic newspaper accounts can be primary sources for exhibitions and other reception documentation. Also good for patronage verification and biographical/obituary accounts. Both pdf scans of the actual column.
Times Digital Archive - the Times (London), 1785-1985
New York Times Digital Index - 1851 until three years ago.
Chicago Defender - Chicago's African American newspaper