It is important to cite data sets for the same reason you must cite books, journal articles, and other publications: to provide due credit and acknowledgement to the original data set creator and to help others locate the work you are using.
A data set citation includes all of the same components as any other citation:
However, unlike other types of citations, data citations have not been uniformly agreed upon. Many data providers and style manuals offer guidelines for those citing data sets. Use the links below to find guidelines for citing data.
If you have any uncertainty about what format to use for your citation, ask your instructor!