The hardest part of citing a dataset is that you might not be used to doing so. If you used a dataset that was collected and published by people who aren't you, you should cite it like you would cite an article - in the reference, cited sources, and bibliographies sections of your works. Just like we give credit for articles and other documents that influenced our work, we should give credit to those who collected datasets we analyzed.
Citing data is very much like citing anything else. You'll need to know:
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
There are FORCE11's Data Citation Principles, or further explanation of why we should cite data:
Data Citation Synthesis Group: Joint Declaration of Data Citation Principles. Martone M. (ed.) San Diego CA: FORCE11; 2014 [https://www.force11.org/group/joint-declaration-data-citation-principles-final].