In recent years, data citation has been receiving a lot more attention. The basic idea here is a familiar one: just as you would cite the books and articles that you consult when writing an academic paper, you should cite data that you use.
While most research papers mention the source of data used, either in-text or as a footnote to a table, data citation goes beyond this. It provides standard formats for citations, as well as identifiers to locate the data set.
Data citation is intended to raise professional standards and ensure that creators of data sets receive recognition for their work. Also, it can encourage scholars to make their data available to other users.
Inter-University Consortium for Political and Social Research The ICPSR has been a leader in creating and promoting data citation standards. This page of their website addresses this topic and provides data citation examples.
DataCite is another leading organization in this area: this page gives a short overview of this topic and provides further examples of data citation.