I'm looking for a global drought data set if anyone has any recommendation. The dataset should be for at least 30 years. I found one which is SPEI, any help would be more appreciated.
As start point you may see A. Dai et al report for procedures in http://www.cgd.ucar.edu/cas/adai/papers/Dai_pdsi_paper.pdf and then get into IRI LDEO archives. Depending on stratum you mey find several entries, by the search file app described in http://blog.lib.umn.edu/stgeorge/geog5426/2013/03/exercise-2-introduction-to-the-iri-data-library-1.html. Of course University of East Anglia Climatic Research Unit (CRU) is well worth of a visit.
Please specify better the spatial scale and location of your area of interest. If you are concerned about drought in the US, then in addition to Guido's suggestions you may find NOAA's web site
http://www.cpc.ncep.noaa.gov/products/Drought/
of relevance. There are similar dedicated systems in Europe and Africa, for instance. Also, are you looking for historical (past) evidence to build a climatology, or trying to setup a system to detect incipient events, or involved in predictions of future risks and impacts? You will likely need quite different data sources and tools for each...
I do really appreciate your suggestions and anwers, I am not trying to calculate or use the climate data to compute a drought index, I am looking for drought indices dataset for the whole glob which have been already established and it has the data for at least 30 years such SPEI. Thanks