OFX (Open Financial Exchange) is a standard for electronic exchange of financial data. This standard is what many software applications use to monitor and perform financial transactions right on your PC desktop.
/n software's IBiz OFX Integrator is a suite of components, which gives .Net and Java developers the power of OFX in a simple API.
Jeremy has a list of OFX FI Data. This contains an index of thousands of financial institutions, and separate xml files with the individual FI details. Before you use this data, you should of course verify the accuracy of this data by contacting your bank.