After reading questions such as this SO question on documenting a data set with Roxygen I have managed to document a dataset (which I will refer to as cells) and it now appears in the list generated by data(package="mypackage") and is loaded if I run the command data(cells). After this, cells will appear when ls() is run.
However, in many packages the data is immediately available without requiring a data() call. Also, the data names do not appear when ls() is run. An example is the baseball data set that comes with plyr. I have looked at the source for plyr and I cannot see how this is done.
In the DESCRIPTION file of your package make sure that there is a field called LazyData that is set to TRUE.
From the "Writing R Extensions" guide:
The ‘data’ subdirectory is for data files, either to be made available via lazy-loading or for loading using data(). (The choice is made by the ‘LazyData’ field in the ‘DESCRIPTION’ file: the default is not to do so.)
I think the exact syntax changed with R version 2.14; before that it was LazyLoad not LazyData.