Whether you use a numeric dataset or a prepared statistical table from an existing source (print or electronic) you do need to cite the source of your information. Depending on the citation style you're required to use for your work it could look like any of the following:
United States Census Bureau. (2000). Census 2000 summary file 3: Maryland raw data. Retrieved 6/5/2010 from http://www2.census.gov/census_2000/datasets/Summary_File_3/Maryland/.
Pew Internet and American Life Project. (2010). Demographics of internet users. Retrieved 6/5/2010 from http://www.pewinternet.org/Trend-Data/Whos-Online.aspx.
Some data sources such as ICPSR provide you with citation information (ICPSR places theirs specifically in the full bibliographic record view).
MIT Libraries also have an Online Guide on citing data.
Another fascinating project from scientists at the Harvard-MIT Data Center is the Dataverse Network Project, which is an Open Source application for publishing, discovering, and citing research data.
Remember that no citation tool is perfect -- you should always check your reference list to make sure that every citation has every piece that it needs to be complete and correct.