Start by thinking about who might care about, collect, or maintain the data. Depending on your topic, there might be government agencies, nongovernmental organizations, or industry research groups that collect and provide access to data. Review the library databases and freely available resources on this guide, consult a data repository index such as the Open Access Directory of Data Repositories, or try this formula in your preferred search engine: topic keywords + data + site:domain For example, if you were looking for reliable government data on gas prices, you might try: gas prices data site:.gov and find the U.S. Energy Information Administration page on weekly gas prices.
Once you have found the data, you need to be sure you know how you will manage it. DataOne.org provides an excellent primer on data management and the data life cycle: plan, collect, assure, describe, preserve, and analyze.
Making sense of the data will often require knowledge of disciplinary research methods and statistical analysis. Sage Research Methods is a library resource that includes tools such as the Methods Map and Which Stats Test. Last but not least, remember to cite your data! The fine folks at Michigan State University Libraries have compiled a helpful guide for formatting citations to commonly used datasets and statistical tables in APA and MLA, and provides general principles for other styles.