Just as you cite journal articles, websites, and any books you reference in your publication, so too do you need to cite any data your publication uses. 

Citing datasets, such as spreadsheets, interview transcripts, images, etc., is crucial in providing context for your research and giving credit to the individual who's data you've used.

For a complete description of data citation guidelines refer to pp. 210-211 of the Publication Manual of the American Psychological Association, 6th edition

• Author Last Name, First Initial. (Year). Title of data set (Version number) [Description of form]. Location: Name of producer.

                                OR

• Author Last Name, First Initial. (Year). Title of data set [Description of form].  Retrieved from http://xxx

Example:

• Pew Hispanic Center. (2004).  Changing channels and crisscrossing cultures: A survey of Latinos on the news media [Data file and code book].  Retrieved from http://pewhispanic.org/datasets