The APSA (American Political Science Association) Committee on Publications produces a Style Manual that includes guidelines for most types of documents and data. Note that Endnote and Zotero both support APSA formats. Zotero has the advantage of being able to capture and archive web pages. Do NOT just use links from web sources, including other identifying information as necessary.
Dr. Rob O'Reilly, Data Services Librarian, also has provided some guidelines for the proper citation of data sources. Data sources should be treated like any other reference; authors, titles, publisher, dates, etc, are essential.