I think the most interesting datasets are within reach but require curation yourself. For example there are extremely powerful scraping libraries in just about every popular language today, not to mention APIs such as Twitter's.
If you're looking for a cool dataset to play with, I think it is more productive to ask yourself what questions you want to answer and then find/curate the data VS find a dataset and then ask "what questions can I answer?". The former approach will also keep motivations high if you're driven by curiosity.
> I think it is more productive to ask yourself what questions you want to answer
I second that. An old remark is, "We often find
that a good question is more important than a good
answer.", as I recall, due to Richard Bellman, say,
the leading proponent of dynamic programming,
i.e., usually a case of optimal control, either
for the deterministic or stochastic (the system
gets random exogenous inputs while we are trying
to control it). Bellman was into a lot in pure
and applied mathematics, engineering, medicine, etc.
Bright guy. As I recall, his Ph.D. was in
stability of solutions of initial value problems
for ordinary differential equations, from Princeton.
If you're looking for a cool dataset to play with, I think it is more productive to ask yourself what questions you want to answer and then find/curate the data VS find a dataset and then ask "what questions can I answer?". The former approach will also keep motivations high if you're driven by curiosity.