Data requires citations for the same reasons journal articles and other types of publications require citations: to acknowledge the original author/producer and to help other researchers find the resource.
Unfortunately, standards for the citation of data are not uniformly agreed upon and have yet to be codified by the National Information Standards Organization (an organization that sets technical standards for other bibliographic materials)
Citation examples from ICPSR:
If you're using ICPSR data, you're in luck--ICPSR not only provides citations, its web site offers a download option to export citations directly into bibliographic citation software like RefWorks.
For work based on ICPSR data, consider submitting your publication to the ICPSR Bibliography of Data-Related Literature. It will help other scholars find all the works based on those data. Email email@example.com to submit citations for inclusion.
ABC News, and The Washington Post. ABC News/Washington Post Poll, May 2007 [Computer file]. ICPSR24588-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-04-17. doi:10.3886/ICPSR24588
United States Department of Commerce. Bureau of the Census, and United States Department of Labor. Bureau of Labor Statistics. Current Population Survey: Annual Demographic File, 1987 [Computer file]. ICPSR08863-v2. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-02-03. doi:10.3886/ICPSR08863
Johnston, Lloyd D., Jerald G. Bachman, Patrick M. O'Malley, and John E. Schulenberg. Monitoring the Future: A Continuing Study of American Youth (12th-Grade Survey), 2007 [Computer File]. ICPSR22480-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2008-10-29. doi:10.3886/ICPSR22480
Hall, David, Clement Leduka, Michael Bratton, E. Gyimah-Boadi, and Robert Mattes. Afrobarometer Round 3: The Quality of Democracy and Governance in Lesotho, 2005 [Computer file]. ICPSR22203-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2009-05-19. doi:10.3886/ICPSR22203
Citation example from the Roper Center Public Opinion Archives:
Cable News Network, USA Today. CNN/USA Today/Gallup Poll # 2000-20:
Microsoft/Parents/'Socially Responsible' [computer file]. 1st Roper Center for Public Opinion Research version. Lincoln, NE: Gallup Organization [producer], 2000. Ithaca, NY: The Roper Center, Cornell University [distributor], 2001.
Here are some additional guides on citing data sets from other institutions and organizations, including links to guides with science examples, as noted.