Research data should be cited for the same reasons as citing to journal articles and other types of publications require citations. Purpose of citing data is to acknowledge the original producer of the data and to help other researchers find the datasets otherwise
Finnish Social Science Data Archive: A lot of examples about citing research data (explanations in Finnish)
List of examples:
(Source: Research Data Management Training Mantra http://datalib.edina.ac.uk/mantra/)
Recommended format for data citation is: Creator (PublicationYear): Title. Publisher. Identifier.
It may also be desirable to include information about two optional properties, version and resource type (as appropriate). If so, the recommended form is: Creator (PublicationYear): Title. Version. Publisher. Resource Type. Identifier.
For citation purposes, DataCite recommends that DOI names are displayed as linkable, permanent URLs. For example:
Dynamic data & dynamic citation. Data citation of evolving data. Rauber,A; Asmi, A; van Uytvanck,D; Pröll, S. (2015) Recommendations of the Working Group on Data Citation (WGDC). RDA, 2015.
Task Group on Data Citation Standards and PractOut of Cite, Out of Mind: The Current Sices, C.-I. (2013). Out of Cite, Out of Mind: The Current State of Practice, Policy, and Technology for the Citation of Data. Data Science Journal, 12, CIDCR1–CIDCR7. DOI: http://doi.org/10.2481/dsj.OSOM13-043