Any font with tabular lining figures as an OT stylistic set would fulfill your needs.

Once upon a time—when a font was one size and one style of a particular typeface, cast in metal—most popular and practical faces had add-on sets of tabular figures, which were purchased separately, as was extended punctuation. So, calendars were assembled by a skilled typographer, backwards and often upside-down. Watching someone hand-set type is a trip, as is watching someone operate a Linotype machine…although neither is as trippy as having a five-inch-long Giant Hissing Cockroach crawl on your hand…

Also, I don't understand the design of the digits in Arial/Helvetica, and even more, why it is default for spreadsheets.

They are often the default for spreadsheets because of their ubiquity rather than any typographic qualities that would lend themselves to this purpose. The current default for Excel is Calibri, which I personally think works very well in that context and I tend to switch between that and Verdana for spreadsheet work.

If I need a monospaced font I tend to use either Anonymous Pro or Consolas.

You might consider looking for a font that has proportional oldstyle figures, like Museo Sans

Any font with tabular lining figures as an OT stylistic set would fulfill your needs.
Not at all. To give an extreme example, the stroke widths of Times New Roman would be quite unsuitable for my needs here.
I would have given up and used the American road sign font (no-nonsense, utilitarian, designed for reading at a distance), except that the characters are rather fat, so I chose the German road sign font instead. I also think that the German font is more attractive and maybe a bit more legible. Okay, maybe the American series B or C version would be all right, but it would still have some problems with the letters.
About the letters: I do not like the "roller-coaster ride" formed by the days of the week in the screenshot I gave. Really, I do not at all like the look of "Fri" in my examples. Partly because "r" and "i" are narrow letters, and partly because proportional fonts in general smash the "r" into the following letter, "Fri" tends to look horrible. On the clock in my kitchen, it looks just like "Fn" with a dot over the "n".
You might consider looking for a font that has proportional oldstyle figures, like Museo Sans
How are oldstyle figures, or proportional figures, even relevant?

Have you looked at Ralf Herrmann's Wayfinding Sans Pro?

If I need a monospaced font I tend to use either Anonymous Pro or Consolas.
There isn't much in the way of monospaced fonts out there, is there?

My guess is that "M", "W", "m", and "w" are the real troublemakers. I don't see why those four characters should dictate the rest of the font. I don't see why the Cyrillic "м" glyph shouldn't be pressed into service for Latin "m" if it helps save space. And I really don't like the avoidance of straight vertical strokes for "M". As for "w" and "W", I am sure font-makers would find a way to narrow them if forced. I guess the reason monospaced fonts are so fat is really these four characters. Is that right?

You might also consider FF Meta Condensed and FF Clan Condensed.

There is generally some level of compromise as a result of narrowing typically wide characters or expanding narrow ones so that the additional space is not too glaring. I think Consolas handles this very well overall but I would be intrigued to see a range of approaches.