I would like the total annual return of the S&P 500 stock index
1925-2001, year by year.  Please note that I already have the year by
year index values without dividends invested.  I want the TOTAL RETURN
with dividends reinvested and compounded.

Durangok,

You can download this data in CSV (comma separated variable) format
Global Financial Data at:

http://www.globalfindata.com/trial/10040.csv

They define "Total Returns" for Stocks as "reflecting returns from
both capital appreciation and reinvested dividends." The unity value
(beginning of time) comes in the year 1927, when the S&P 90 index was
created. The particular data you were interested in happens to be
available as their free sample, but you can buy any of their data
files fairly cheaply:

"Prices: Data from 1980 to present: $35 per file. Data from Inception
(the entire file): $55 per file" by following the instructions on
their main site at:

http://www.globalfindata.com/

They also sell a sort of "all you can eat in 24 hours" option.

Of course, there's a certain artificiality to all this since the S&P
500 is a recently created index, from the 1950's, and the old S&P 90
only went back to the late 1920's. Interesting discussion of these
issues in the thread "There is a surprising condition of
predictability in the otherwise useless January Barometers" by Bob
Bronson

http://csf.colorado.edu/forums/longwaves/2002/msg00130.html

Another data run of S&P total returns (from 1970 on up) with a shorter
frequency (monthly dividend reinvestment) is available from the
St.Louis Federal Reserve Bank at:

http://research.stlouisfed.org/fred/data/business/trsp500

I hope this data is useful to you.

Google Search terms:
"S&P Total Return" data
"S&P 500 Total Return" fred