Yes that's definitely a struggle. There is a balancing act involved in getting a set of time series that share 1) a common methodology for calculating index levels and returns, 2) a long lookback period, 3) index levels that account for dividends, 4) freely available and relatively simple to download to csv or other useful format. St Louis FRED database was very useful in this regard. I could definitely make some nicer flavors by using a paid source for historical asset returns but I'm not willing to do that just yet.
The next flavor I make will probably use something from: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_...
And for that one I'd like to use some non-normal distributions and other fancier characteristics.