I have no idea how this site could hide from me for so long, but PWC MoneyTree is a nice resource. It i.e. gives you an overview about TOP 100 US VC firms and the number of early stage investments in 2002. Very helpful.
This site offers more very detailed and helpful statistics:

• investments in Southern California in 2003 sorted by industry and stage of development
• investments in New England in 2003 sorted by industry and stage of development
• a summary of investments in Israel in 2003
• this Excel Sheet has very detailed views of Total U.S. Investments from Q1 1995 - Q2 2003 sorted by industry and stage of development

Some key statistics I found interesting:

"The net returns of private equity funds raised between 1980 and 2002 measured to the end of December 2002 were:

• One year= 1.4%

• Three year= 4.2%pa
• Five year= 11.4%pa
• Ten year= 16.2%pa