Have you looked at the American Census Fact Finder or Policy Map yet? Both house historical data on foreclosures and allow you to download statistical data for secondary analysis in STATA or SPSS.

With regard to your overall thesis, you probably won't have an easy time trying to prove something about policy by linking foreclosure rates and party control given that (ignoring the subprime mortgage meltdown for a moment) foreclosure rates have been static for a long time, that housing value rose uninterrupted for about 50 years and that rates of homeownership have increased consistently since the Great Depression. There's the added problem that foreclosure rates are not always a strong indicator of costs and benefits when discussing the efficacy of economic policy. As an example, one of the larger crises of policy around housing that we can talk about historically is the Savings and Loan crisis, which you could argue was a taxation policy failure that caused the majority of traditional mortgage lenders to shutter in the 80s and 90s. That didn't increase the foreclosure rate so much as it simply made lots of thrifts fail, shifted bank business models away from the traditional take in deposits and issue mortgages and towards money market accounts, made mortgage lending more expensive and less accessible for the borrower and the lender and finally put a lot of people who formerly worked for the thrifts out of their jobs. With this in mind, if you looked at the foreclosure rate as being an indicator of the success of economic policy in the 1980s and 90s then you would entirely miss the enormous problems that the Savings and Loan crisis caused in our economy in the 1980s. Plus, the savings and loan crisis is an example where the incumbent President was a republican when the policy error was made (Reagan) and when the policy error was fixed (Bush Sr.).