As an ethical consumer of research data, you should give a complete citation for any dataset that you use. Datasets are an important output of scholarly research and should be cited when used (as you would cite a scholarly publication).
If you reuse data from a data center or repository, there is often a preferred citation in the summary of the dataset. See the example below from Dryad, a biological sciences data repository.
Source: http://datadryad.org/resource/doi:10.5061/dryad.bn1gf
