There are two ways to get data attribute:

$(".selected").attr('data-value');  // It works for all type of custom attribute

or

$(".selected").data('value');  // This one is specially for data attribute

You can do that with jQuery's attr():

alert($('div').attr('data-value'));

But, since there will me more than one divs, better give each one a class (to be more specific):

<div class="clickable" data-value="x">Click Me!</div>
<div class="clickable" id="second" data-value="y">Click Me!</div>
<div class='selected clickable' data-value="z">Click Me!</div>
<div class="clickable" data-value="w">Click Me!</div>

and the jQuery will be:

$('div.clickable').on('click', function(){

    alert($(this).attr('data-value'));

});

Fiddle here: https://jsfiddle.net/hpb5u62e/

check working example.I have added click event for button

$(document).ready(function(){
    $("button").click(function(){
      alert( $(".selected").attr('data-value') );
    });
});

<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<div data-value="x">Click Me!</div>
<div data-value="y">Click Me!</div>
<div class='selected' data-value="z">Click Me!</div>
<div data-value="w">Click Me!</div>
<button>Click me</button>