Here are links to some comprehensive statistical sites, mostly from the U.S. government:
It is increasingly important to cite your data sources, just like you would normally cite a journal article that you used to support your research. If you use a statistic, your readers should be able to find where you got it from, and decide for themself if the study was trustworthy.
ICPSR has a great page with examples, and a video on how and why you should cite data.