A list of sources to check when looking for information on sanctions:

Financial sanctions - consolidated list of targets from HM Treasury, choice of document format. This is the main page on financial sanctions.
Financial sanctions: regime-specific lists and releases from HM Treasury - document series contains details of all regimes currently subject to financial sanctions.
Contact the Office of Financial Sanctions Implementation - 020 7270 5454 - ofsi@hmtreasury.gsi.gov.uk.

EU sanctions (via EEAS): Financial Sanctions in Force - Electronic list (click on current list view - takes a while for page to load up. Searchable but using CTRL+F is probably easier). An RSS feed is available for latest updates.
Sanction information can also be found via Eur-Lex and finding the appropriate Council Decision/Regulation on financial sanctions imposed on a country.

You may also be interested in reading Loyita Worley's article on sanctions generally - Internet Newsletter for Lawyers, March 2015.

To keep up to date, you may wish to follow the European Sanctions blog which also lists EU sanctions in force