Books to self-study applied econometrics I'm a student and I'm interested in focusing on the application of econometric theory to "practical" situations. It would be great if you can suggest freely available books along with those that are not. The best thing would be books with explained examples of applications to real data. Also, a good and solid theoric book would be appreciated (maybe with a practical approach to the theory). All the above, whether it would be possible, may consider econometrics in general and macroeconometrics (in this area, along with the general topics, also some specific suggestion on forecasting would be great).
Summing up, the books I would like you to suggest me has to refer to these arguments:
- econometric theory 
- applied econometrics 
- macroeconometric theory 
- applied macroeconometrics 
- forecasting 
- applied forecasting 
I know that's a huge question and every suggestion would be strongly appreciated.

As properly suggested I add that for the applications any of Stata, Eviews and R is ok. About my background I think I can say to have a good graduate preparation, but it is fair for you to suggest books that starts from the basics concepts.
Experts can provide better suggestions if you give more information about your background, preferred programming language, etc. An absolute beginner myself, I am trying to learn Stats and Econometrics, and their applications using R language, the lingua franca among stats community. So far I have consulted primarily Springer's Use R series and free resources available on CRAN. I found the following particularly useful:


Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge
Applied Econometrics with R by Kleiber &amp; Zeileis


These are rather elementary books. Have a look at CRAN Econometrics Taskview to learn about applications of more advanced topics and even most recent Econometrics research.