Different geospatial data tools are able to read/ingest different file types. For ESRI's ArcGIS see this list of supported data formats and this list of supported raster and image data formats. Using another geospatial tool? Check the software's help information to be sure of which file types it can handle.
A listing of websites offering free GIS data for download. Arranged by geographic area and sub-grouped by theme (e.g., biota, climatology, energy, environment, health, society, transportation, etc.). Curated by Stanford University Libraries.
OpenStreetMap is built by a community of mappers that contribute and maintain data about roads, trails, cafés, railway stations, and much more, all over the world. Help for using the data and exporting data from the database can be found in the site wiki.