Dane's got it right, not every sale is in MLS the registry of deeds has all recorded sales, Deb's Real-data info is great too but you have to subscribe to that website it's not free. Hey Ted it's all public record information unlike what others are saying you don't need a realtor's help to get the data and it should be free and available to all. The people who work at the registry are very friendly and helpful. You can go and compile your own list from the data there.
You can always check with the town of Exeter, NH too if that's where your looking for sales. They keep a list but it might not have the most recent sales data. The data is free but you pay for the photocopy if they make it. The people who work at the town of Exeter are also very friendly and helpful too. If you don't need up to the minute data go there first they have a list. Any town has this info because they must keep track of who to send the tax bills to and maybe ajust the bill after a sale. They are already doing the work for you right now of compiling the list of solds.
Outside of MLS, sales might not be fair market value and often you see family members selling property to other family members or Xs for a buck, people getting forclosed on, and people buying property at auctions and from banks. You will not find most of these types of sales in MLS. The registry probably has what your looking for.
But of course there are some sales, a very small amount, that are not recorded in the registry and there are many reasons why this happens, too much to go into here. You can contact me if you need to know the whys.