If you use data, you should cite it! It is a source.
If you are submitting to a journal, you may want to additionally check to see if the journal has a author submission guide on how to cite/format your data. If so, those instructions would supersede the traditional style guide rules.
In Text: (Author, Year, Table #)
(National Center for Education Statistics, 2008, Table 3)
Full Citation: Author/Rightsholder, A. A. (Year). Title of publication or data set (A table ID/code from the database if any; Version number if available) [Data set]. Publisher location city, state: Publisher [distributor]. Retrieved from (or available from) http://xxxx.
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
Bureau of Economic Analysis, U.S. Department of Commerce (2013). U.S. Direct Investment Abroad, All U.S. Parent Companies 2009-2010. [Data file]. Available from BEA.gov/iTable
World Trade Organization. (2012). Table I.3: World merchandise trade and trade in commercial services by region and selected economy, 2005-2011. In International Trade Statistics, 2012 (p. 22). Retrieved from: http://www.wto.org/english/res_e/statis_e/its2012_e/its12_toc_e.htm
Provide as much information about the dataset as you know. You can refer to the APA reference style guide about unpublished or untitled work. If an embargo is in place, so that the data that has been deposited into an online location is not yet publicly available in an online record, the date of publication can be “in press.” If the dataset has not been deposited into an online record, record the date that collection was made.
For physical data, the URL should ideally point to a page explaining how to gain access to the data.