You'll usually find data in a couple of different formats. Data stored on a gopher or FTP site is the most useful because you can download the whole database. The data may be in a ASCII delimited, fixed-length or even DBF format that can be imported into any spreadsheet or database.
You might find the data in a tabular form you can cut and paste into a spreadsheet. Other times you might be asked to run a search that limits the data (i.e by state). The results set is printed to the screen as a tab-delimited, comma separated or fixed width file. By selecting FILE-SAVE AS on your browser menu, you can save the data to a local file and then import it with a database or spreadsheet. This can be annoying as you may need to get a database one piece at a time.
US Downloadable Databases
International Downloadable Data
Interesting Searchable Databases Online
Other Database-Related Resources