I would recommend getting a good book on algorithms ('Introduction to Algorithms' by Cormen et al. would be my recommendation). Through the book you will both develop and put to use different data structures and you will most probably realize what each structure is good for. Data structures are only useful as means to achieve a different goal: solving a particular problem.
Depending on how much time you have or want to spend on it, you can try to get problems from different programming contests like the ACM ICPC. Most of the problems will require you exercise this knowledge. Note that both algorithms and data structures are language agnostic, so if you have good knowledge of any other language just use it.
