The National Science Foundation's Directorate for Social, Behavioral, and Economic Sciences is partnering in the third round of the Digging into Data Challenge (DiD). Digging into Data is a grant competition designed to spur computationally intensive research in the social sciences and humanities. It was launched in 2009 and is now in its third round. DiD is sponsored by ten leading funding agencies from Canada, the Netherlands, the United Kingdom, and the United States and is led by the National Endowment for the Humanities. The Digging into Data Challenge aims to address how the availability of "big data" is changing the research landscape for the social sciences and humanities. Now that we have massive amounts of digital data - ranging from digitized books, newspapers, and music to information generated by Internet-based activities and mobile communications, administrative data from public agencies, and customer databases from private sector organizations - what new, computationally-based research methods might be applied to understand and make use of these data? As the world becomes increasingly digital, new techniques will be needed to search, analyze, and understand these materials. Digging into Data challenges the research community to help create the new research infrastructure for 21st-century scholarship.