You can find many data by clicking on the following link (not only Europe). Hope this helps.

http://gis.ncdc.noaa.gov/map/viewer/#app=cdo&cfg=cdo&theme=daily&layers=111

The European Climate Assessment & Dataset project provides European station data as well as a gridded observational dataset.

http://eca.knmi.nl/dailydata/index.php

If you are looking for several weather stations you should have a look here: http://www.mundomanz.com - there is also historic data provided.

http://www.mundomanz.com

The Dutch Met service's climate explorer (KNMI Climate Explorer) is fantastic. Its got a huge met data archive available and loads of cool analysis tools as well. http://climexp.knmi.nl/start.cgi?id=someone@somewhere

You can use RET screen data base for using the meteo data .

my favorite is same as Gagen's:  the Dutch Climate Explorer, http://climexp.knmi.nl/start.cgi?id=someone@somewhere

but in case useful see also http://sdwebx.worldbank.org/climateportal/index.cfm?page=country_historical_climate&ThisRegion=Europe&ThisRCode=EU

You can find a lot of information, including hindcast, forecast, long term forecasts, etc at the European Center of Mean Weather Forecast (ECMWF) at: www.ecmwf.int

Actually they are the developers of the best numerical model for atmospheric prediction

You can find a lot of information, and sounding (Skew-T diagram) in:

http://www.weather.uwyo.edu/upperair/sounding.html

For solar radiation, I'd suggest BSRN, GEBA and WRDC:

http://bsrn.awi.de/

http://www.geba.ethz.ch/

http://wrdc.mgo.rssi.ru/

http://wrdc-mgo.nrel.gov/

I would like to thank you all for your answers. Actually I was looking for meteorological data for Roma / Urbe station. Your sources helped me in getting data for  temperature and relative humidity but I couldn't find any for global solar radiation. I tried the links provided by @Chris Gueymard but nothing was found for this station.  

Thank you again for your help.

Hossam, The Russian WRDC site does contain global solar radiation and sunshine data for Rome, at least for some years.

There are also measurements at the ENEA Casaccia site near Rome (pictured). See www.solaritaly.enea.it, http://clisun.casaccia.enea.it/Pagine/Index.htm

Finally you can contact knowledgeable persons in Italy who have published on solar radiation, such as Davide Del Col [Solar Energy 84 (2010) 2068–2084] or Maurizio Grigiante [Renewable Energy 36 (2011) 1-8].

Thank you, Chris. Really appreciate it .

The Italian Agency of ENEA also provides data from Lampedusa, Roberto Sarao Laboratory:

http://www.lampedusa.enea.it/strumenti/index.php?lang=en

They definately have radiative products from Thule, Greenland. Ask Mr. Giorgio di Sarra.

For Denmark, Greenland and Faroe Islands, data from DMI: https://www.dmi.dk/publikationer/