In order to use GIS software, you have to have GIS data. This guide shows you the different GIS file formats and types and provides you with a number of online sources for accessing data.
Data Formats and Manipulation
Vector: discrete coordinates and surfaces represented as points, lines, or polygons (areas). File formats: shapefiles, coverages, KMLs

Raster: continuous surface divided into grid cells of equal size. File formats: Geotiff, tiff, JPG, MrSID

Tables: data tables that contain records for places that can be converted by plotting coordinates or joining identifiers to a vector file. File formats: delimited text files, spreadsheets (xls), data tables

Geodatabase: collection of vectors, rasters, and tables in a database file. File formats (desktop): Access mdbs, SQLite
Please note: GIS files are often distributed in compressed file formats--in other words, inside of containers holding several data files. Common formats you may encounter include ZIP, 7z, and TAR. E00 is an ESRI file format used to exchange coverages. Windows and Macintosh operating systems can handle many of these formats. There are plenty of free tools available to handle most other cases.