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Who If you could imagine the smallest unit you'd like to analyze, would it be individual people, households, firms, or something else? What is it that you hope to draw conclusions about?
What What should the data tell you about these people or other units? How would you measure that, and what kind of categories would you create. These are the variables you need.
When Do you need data from a particular historical period? Do you need a snapshot (i.e. cross-sectional data) or changes over time (i.e. a time series)? Is the series yearly, weekly, once a decade?
Where Do you need to know about a particular place--a city, county, state, or country? Within that place, are there smaller areas you would like to compare, e.g. neighborhoods within a city?
Why Why would someone record data on this subject? If you know who would be interested, then you can infer where you might find it. For example, the Centers for Disease Control is interested in the spread of diseases, so they might be a source for health data.
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