Where can I find a dataset with indexes, equities, forex, etc for, at least, the last 10 years? The more data the better :)
you can order data here : https://www.tickdata.com/ . Choose Historical Data Tab and you can even choose regions. Take a look.
Also following details are taken from Investopedia FAQ (I dont take any credits for the same.)
Q:How do I find historical prices for stocks?
A:Whether for research purposes, bookkeeping or even general interest in historical performance, this is a question that many of our readers ask.On the internet, there are many different stock quote service providers that offer historical information. Many of them are free of charge. Within the Investopedia website, you can check out our Stock Community page (sign up is free) and get access to historical data on each ticker as well as many other useful stock-picking tools including market commentary and other users' takes on where they think a stock will go. Simply search your stock ticker symbol and click on the "Historical" price tab for recent and not-so-recent price changes.
If you'd like to see more, head to the very sources of stock movements and check out the NYSE and Nasdaq homepages. These pages provide historical sheets that are a little harder to find; however, they are still free for most customers.
Have you checked out Quandl? Quandl has a rich collection of financial and economic data.
Here are a few links to help you get started:
Foreign Exchange - we just added historical databases from CLS with volume data included: https://www.quandl.com/vendors/cls
Other Foreign Exchange: https://www.quandl.com/data/CUR
Other ways to explore Quandl:
[Disclosure: I work for Quandl]