Well, you would have to be more accurate about WHAT you want to store if you want to know how Sage can store it. There is a very general-purpose format that Sage supports though, but it will mostly be useful if you want to send a "Sage object" to another Sage user.
sage: # Build an object containing whatever you want to store
sage: a = [1, Graph(), Matrix(2,2)]
sage: save(a,"/tmp/my_sage_object.sobj")
sage: load("/tmp/my_sage_object.sobj")
[
[0 0]
1, Graph on 0 vertices, [0 0]
]
sage: one,my_graph,my_matrix = load("/tmp/my_sage_object.sobj")
That's a pretty cool feature if you want to store an object.
But if what you had in mind is "how can I exchange data with other persons or load their files", then you have to be much more specific.
Nathann