APA (American Psychological Association) style is most often used by students (and scholars) in the Social Sciences, especially Psychology, and by Education and Business researchers. If you aren't sure which citation style to use, be sure to ask your professor which style they prefer for assignments in their class.
Datasets are cited similarly to articles. Use the Purdue Owl site to find the format and an example.
Some notes about citing data:
These web sites provide examples of citing materials in APA format (6th ed.) and (7th ed.).