Initial Jobless Claims

What exactly? A measure of the number of individuals filing first-time claims for state unemployment insurance.
Source: Labor Department
Frequency: Weekly
Delivered when? Thursday at 8:30 a.m. Eastern. Data for week ended prior Saturday.
Market importance: Some. Sporadically moves market. Timely. Considered a decent check of the condition of the labor market and great indicator of the tone of the employment report.
Other notes: Series is unstable and subject to big corrections. The four-week average is utilized to check the underlying trend in claims.