FMI data
Finnish Meteorological Institute (FMI) nowadays provides open access to its data (for description, see http://en.ilmatieteenlaitos.fi/open-data). The implementation is rather technical for an average user, but when you get familiar with the service it is quick and straightforward to get what you want. Some datasets (e.g. basic weather and radiation data) are also available in simple table format here:
https://en.ilmatieteenlaitos.fi/download-observations#!/
All available data are accessible via Application Programming Interface (API).
As a first step you will need to register to the service to obtain an "API-KEY".
Install FMIdownloader from Software portal or use your browser to download data. For example, Hyytiälä weather observations as daily averages from year 2013 can be obtained at:
You just need to define the starttime and endtime (note that there is maximum number of records that can be retrieved with one query). After pressing enter, you get what first appears a full mess of cryptic text. Simply save the page as an xml file and then open the file in Excel (preferably 2010 version or above). When Excel prompts for an answer how to open the file, select the option "As an XML table". After a while (Click OK to have Excel create a schema...), you will find a complex-looking table where the variable names, time stamps and actual daily observations, after all, will be neatly listed in the three rightmost columns one below another.
More instructions and examples of queries can be found at FMI open data help pages.
Open xml file with matlab: see Mathworks documentation.
R library for retrieving data (not updated recently)
for retrieving time series data, requires installing requests package.
Less cryptic for reading time series data into Pandas dataframe