A data set is a grouping of data on a particular topic. Many academics gather their own, especially in the sciences. On occasion, however, it is more useful to analyze the data already gathered and provide new insights into a topic.
Data sets which have been gathered and curated by someone else have a couple of advantages: they've been gone over several times and the errors are likely to be reduced, they're likely to have been gathered in a consistent and competent manner, and they're likely to be available electronically.
From Data Sets by Laura Trude, University of North Dakota Libraries
Federal Researve Economic Data (FRED)
United Nations Data
The University of Texas at Austin, Sociology Department
Sociological Data Online
Pikes Peak Community College Libraries
Information ∞ Inquiry ∞ Learning