Without any arguments, data() will show a list of every dataset offered by the packages you've loaded. For example:
library(dplyr)
library(RCurl)
# See a list of datasets from dplyr, RCurl, and the base "datasets" package
data()
If you're looking for packages with datasets, try the TeachingStatistics task view on CRAN. Sometimes, R users who write statistics lessons put the datasets used in a package. A list of some are in the "Packages associated with Statistics books" section.
Once you feel a little more daring, maybe check out the datasets on Kaggle.com.
Also, welcome to R!