GIS data comes in a variety of formats. Some are published, including GeoTiff, JPEG and JPEG2000, MapInfo, shapefiles, and the U.S. government's SDTS and TIGER. Others are proprietary (not published) but have been teased out by clever programmers including E00, DWG and others. Other goodies are available at Wotsit's website.
As technology moves ahead more and more data creators and distributors are providing their data as a service that you can "tap into." Some are free and others are not. How the data (and other services) are provided varies. Some use Web Services standards, like SOAP, including Microsoft's MapPoint Web Service. Others adhere to OpenGIS Specifications (WMS, WFS). A few commerical companies offer lists of OpenGIS supported services: IONIC Enterprise and Intergraph. Also, check ESRI's Geography Network (worldwide) and the U.S. government's GeoData.gov (U.S.)
The U.S. has a plethora of free and commercial data providers. Other counties typically don't have as many offerings. The Ordnance Survey, OS, Britain's mapping agency has great data, but it's not free. Canada' GeoConnections, like OS, is a major player in data interoperability efforts. In 2003 a joint effort of players in Canada put GeoBase online. It's a portal for free Canadian data. In Europe, Eurogeographics, is spending a lot of energy looking at data sharing and interoperability.
How to Find the Data You Need
Is there a catalog of all the data holdings on the Web? None of which I'm aware. So, how do I find data? I use Google. Try the name of your location of interest and "GIS data" and "download." For example, ["shelby county" indiana "GIS data" download] will get you to data fairly quickly.