First, consider whether you want to reference:
If the 1st, you will want to cite the dataset itself, in addition to any citations of the original researcher/s' publications discussing the data.
If the 2nd, you will cite the researcher/s' publications as normal, with a possible additional citation of the dataset if there is no direct link to the dataset from the original researcher/s' publication/s.
As datasets become more commonly referenced by researchers, citation styles are beginning to develop standardized formats for citation. Check the style guide you're using, such as APA (American Psychological Association), MLA (Modern Language Association), and others to see if there is a standard method to cite data in that style.