As stated in the previous post, you can pull out data from the NYMEX, CME, etc databases.
I have never been able to get data from the LME. It'd be nice to have since for at least a couple commodities London is the default exchange.
Guess Wolfram doesn't have a service agreement with them. Wolfram relies on third parties (Yahoo?) to provide Financial Data.
This reliance on third parties is patchy sometimes (right now my code isn't running).
Hope this helps