Citing data is similar to citing journal articles or books and requires the acknowledgment of the original source. DataCite is an international organization that aims to increase access to research data and promotes the proper crediting of data use via citation.  They recommend the following

Creator (PublicationYear): Title. Publisher. Identifier .   For example: 

Irino, T; Tada, R (2009): Chemical and mineral compositions of sediments from ODP Site 127‐797. Geological Institute, University of Tokyo. http://dx.doi.org/10.1594/PANGAEA.726855.

For an extensive list of data types, and recommended citation styles, we recommend this Michigan State University Library Guide on citing data.

The format for citing data sets is still evolving. Below is an example for the most common style manuals used at ASU. The example is taken from the ASU Library Digital Repository. It is still assumed that data sets are attached to reports, dissertations and other published works.

Chicago Manual of Style: Depends on the format of the source (paper or digital), published or unpublished, and whose data (private, institutional, or governmental) it is. If the data is included in a publication, you follow the citation style for that type of publication. If it is a data set, the style would be to use the author and name of the file in the repository.

Overman, William, "Study of a Night Sky Radiator Cooling System Utilizing Direct Fluid Radiation Emission and Varying Cover Materials. ExcelDataFiles.zip." (master's thesis, Arizona State University, 2011), http://repository.asu.edu/items/14402

Modern Languague Association (MLA): Does not have a specific format for data or statistics. This relies on the majority of data cited to be in a publication.

Overman, William, "Study of a Night Sky Radiator Cooling System Utilizing Direct Fluid Radiation Emission and Varying Cover Materials. ExcelDataFiles.zip." MS thesis, Arizona State University, 2011. ASU Digital Repository. Web. 3 July 2013.

APA (Publication Manual of the American Psychological Association): Look at the examples in 7.08 and 7.09, there are variations so look carefully.  

Examples:

Rightsholder, A.A. (Year). Title of Program (Version number) [Description of form]. Location: Name of producer.

Rightsholder, A.A. (Year). Title of Program  [Description of form]. Retrieved from http://xxxx

ASU example:

Overman, William. (2011). Study of a Night Sky Radiator Cooling System Utilizing Direct Fluid Radiation Emission and Varying Cover Materials [Data file]. Retrieved from http://repository.asu.edu/items/14402