It is just as important to cite datasets as other sources of information such as books and journal articles that contributed to the research. The key elements to include when citing datasets are:
For example, the same dataset is cited here in various styles:
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