Cite data the same way that you cite other sources of information, such as articles and books. Data citation helps:

• support researchers in identifying and locating referenced data
• enable reuse and verification of data by other researchers
• allow the impact of data to be tracked (e.g. by funding agencies, such as the NIH or NSF)
• create a scholarly structure that recognizes and rewards data producers

Each citation should include the basic elements that allow a unique dataset to be identified over time:

• Title: Complete title of the dataset, including the edition or version number if applicable
• Author: Name(s) of each individual or organization responsible for the creation of the dataset
• Date: Year the dataset was published or disseminated
• Version: Include version or edition number if applicable
• Persistent identifier: This is a unique identifier, such as a Digital Object Identifier (DOI). A DOI is a unique persistent identifier for a published digital object, such as an article of a study, providing a link to the article or study. 

Sometimes, a data set source will provide you with information on how to cite, provide a citation, or will tell you where to find those elements needed for a citation. 

Arrange the basic elements using the order and punctuation specified by the style guide you have been asked to use. Fewer or additional elements may be requested by author guidelines or style manuals. 

Be sure to include as many elements as needed to precisely identify the dataset you have used. When in doubt, it is always better to provide more information rather than less.

APA (6th edition)

Smith, T.W., Marsden, P.V., & Hout, M. (2011). General social survey, 1972-2010 cumulative file (ICPSR31521-v1) [data file and codebook]. Chicago, IL: National Opinion Research Center [producer]. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor]. doi: 10.3886/ICPSR31521.v1

MLA (7th edition)

Smith, Tom W., Peter V. Marsden, and Michael Hout. General Social Survey, 1972-2010 Cumulative File. ICPSR31521-v1. Chicago, IL: National Opinion Research Center [producer]. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2011. Web. 23 Jan 2012. doi:10.3886/ICPSR31521.v1

Chicago (16th edition) (author-date)

Smith, Tom W., Peter V. Marsden, and Michael Hout. 2011. General Social Survey, 1972-2010 Cumulative File. ICPSR31521-v1. Chicago, IL: National Opinion Research Center. Distributed by Ann Arbor, MI: Inter-university Consortium for Political and Social Research. doi:10.3886/ICPSR31521.v1

Sources: Why Cite Data? from DataCite, "Data Citations" from ICPSR, "Quick Guide to Data Citation" from International Association for Social Science Information Services & Technology, "How and Why Should I Cite Data?" from ICPSR