Though we have many datasets available on internet for implementing Linear Regression , many a times we may require to create a our own synthetic data.
Scikit-Learn has a class called make regression , we can use this class to generate synthetic data for linear regression.
from sklearn.datasets import make_regression
# generate regression dataset
x, y = make_regression(n_samples=20, n_features=1, noise=0.75)

We can also create synthetic data for linear regression only using numpy in this post as linear synthetic data using numpy.