Mathematica V10.4 supports a service for connection to FRED. If you create a connection with
fred = ServiceConnect["FederalReserveEconomicData"]
(you need to have created a login id to be successful), and then ask for the US Unemployment data
ds = fred["SeriesSearch", "Query" -> "UNRATE"]
you will get a dataset with nine elements: title, frequency, units, etc. Everything but the unemployment time series. I suppose I just don't know how to use the FRED service connection, but the current documentation doesn't help. Does anyone know how to use this wonderful new datasource?