Need advice for job interview

Hello folks! I have an interview coming up for a data scientist position. I graduated with a masters in mathematics in December and this job is my dream job. This company is one of the biggest in the world of financial data.

In order to nail this final interview, I want do a simple project or two, do a report and take it with me to show the interviewers my initiative. I want to find some simple data sets to do basic supervised learning stuff (clean up, regression, cross validation, prediction, etc.). Does anyone have any tips they can share with me?

Thanks!