By number, my data sets are usually in CSV. I could probably get some additional advantage via HDF5, but a gzipped CSV is usually good enough and simpler. By volume (i.e. on my 2 or 3 biggest data sets) I'll probably be mostly HDF5. I haven't tried feather yet but it looks pretty nice.

KDB would probably be better, but don't underestimate what you can do with just a bunch of files.