In gretl's native data format, a data set is stored in XML (extensible mark-up language). Data files correspond to the simple DTD (document type definition) given in gretldata.dtd, which is supplied with the gretl distribution and is installed in the system data directory (e.g. /usr/share/gretl/data on a unix-type system). Data files may be plain text or gzipped. They contain the actual data values plus additional information such as the names and descriptions of variables, the frequency of the data, and so on.
Most users will probably not have need to read or write such files other than via gretl itself, but if you want to manipulate them using other software tools you should examine the DTD and also take a look at a few of the supplied practice data files: data4-1.gdt gives a simple example; data4-10.gdt is an example where observation labels are included.