Rblpapi is an api to access data from Bloomberg Finance L.P.

Here are a few simple examples.

library(Rblpapi)
conn <- blpConnect()

spx <- bdh(conn,securities="SPX Index", fields="PX_LAST", start.date="20130301")
spx.ndx <- bdh(conn,securities=c("SPX Index","NDX Index"), fields="PX_LAST", start.date="20130301",include.non.trading.days=TRUE)

monthly.options <- structure(c("ACTUAL","MONTHLY"),names=c("periodicityAdjustment","periodicitySelection"))
spx.ndx.monthly <- bdh(conn,securities=c("SPX Index","NDX Index"), fields="PX_LAST", start.date="20120101",options=monthly.options))

goog.ge.div <- bdh(conn,securities=c("GOOG Equity","GE Equity"), fields=c("PX_LAST","CF_DVD_PAID"), start.date="20121101")
goog.ge.px <- bdp(conn,securities=c("GOOG Equity","GE Equity"), fields=c("PX_LAST","DS002")