Data, just like other scholarly outputs, requires citations to acknowledge the original author/producer, and to help others locate the resource. Check with the repository from which you have accessed the data first for preferred citations. If no guidance is provided, a dataset citation includes all of the same components as any other citation:
Data that is in the public domain or licensed under a Creative Commons license allowing re-use (such as a CC-BY license) can be freely downloaded and re-used by researchers.
If you are interested in using a data set that is not licensed in such a way, you can request a non-exclusive license from the copyright holder.
In addition, if your use creates something new, it may fall under constitutional protection afforded by US Copyright Law's Fair Use provision, which allows use of copyrighted material without permission after balanced against the following four factors:
Still confused? This site has lots of great info, or contact firstname.lastname@example.org!
Find several repositories of open datasets here.