I must admit that, in the past, I haven't done as good of a job with citing datasets as I would like. Occasionally, I'll find a worksheet I made years ago and will want to find the original data. In the back of my mind, I'll recall finding it in one of the dozens of Stats textbooks on my bookshelves but have no idea which one. I probably would have benefited from a data citation in that case.
There are more good reasons to reference datasets, especially for teachers and students. Here are the 7 reasons I think we should citing data in the statistics classroom as well as the best guide on how to do it.