Now the good folks over at the European Social Survey have reacted and spent the Descartes Prize money on compiling multilevel information and merging them with their own data. So far, the selection is a little bit disappointing in some respects. Homicide rates, for instance, are reported on the national level only. But there are some pleasant surprises (I guess due to Eurostat, who collect such things): We get unemployment, GDP growth and even student numbers at the NUTS-3 level. Since you asked, NUTS is the Nomenclature of (subnational) Territory, and level 3 is the lowest level for which comparative data are normally published.
Regrettably, the size and number of level 3 units is not necessarily comparable across countries: For Germany, level 3 corresponds to about 400 local government districts, while France is divided into 96 European Departments. But if you need to combine top-notch survey data with small(ish) regional data, it’s a start, and not a bad one.