Well-characterized and comprehensive test data sets are essential in the development and evaluation of biosignal interpretation methods for intensive-care patient monitoring. The IMPROVE (IMPROVing control of patient status in critical carE) data library is an annotated data library that contains practically all the monitored and other clinical data from critically ill patients at high risk of oxygen-transport-related problems. The data, collected at the Intensive Care Unit of the Kuopio University Hospital, is supported by continuous patient-state assessments carried out by a bedside physician and includes 59 patient records, each having a typical duration of 24 hours. In this article, we describe the technical setup of the system, including what signals and parameters were collected and how the annotations were done. We also discuss the lessons learned from the data collection process.