Sales data is typically colected and organized by
NPD, a group that then sells their info to financial investors and other interested parties. Supposedly they don't count every single sale (like, I think WalMart doesn't participate with NPD), but use a mathamatical model to make a very close guess. At the very least, it's a LOT better than the bogus "units shipped" numbers that companies like Sony tend to rely on.
It's a safe bet that most of us on this message board are not investors, and can't afford to pay for these numbers.
Frequently, a company like Nintendo or Microsoft will use these numbers to tout their own victories, but those never tell you the whole story, because the whole truth is rarely in anyone's interests, and they'd most likely have to pay NPD more to publically use the complete numbers anyways.
Fortunately for us, the numbers usually end up getting leaked, on some forum or another, about halfway through the month following the one that's being reported on.
These "leaks" are sometimes hoaxes though, so they're really only good for casual info. If you've got real money on the line, it's a bad idea to make use of anything you heard someone say on a message board.
The MagicBox frequently mentions sales figures from various regions around the world in their news headlines (I wouldn't know if their sources are "official" or not), and their forums seem like a good place to start, if you want to keep an eye out for reports of sales figures.