The study of Sun-Climate relationships has been one of the main tasks of the scientific community throughout history. These studies have often been controversial due to the non-linear nature of the behavior of the systems involved (Sun, Earth's atmosphere) and the very physical laws that govern this interaction. For this reason, a fundamental task in this type of study has been the development of appropriate data sets to study the connection between the Sun and the Earth's climate. In this contribution, a review of the ideas of the influence of the Sun on the atmosphere of our planet (and other planets) will be presented including some interesting cases on the elaboration of appropriate data sets (solar data and atmospheric data) for the development of these research.