Currently the data dump, the "votes" table contains rows that record votes to close (or reopen) a question, but the userid column is not filled in for these votes. Since this information is available on the web interface (just go look at the question history online), this data should be available in the data dump as well.
The next data dump will contain PostHistory for every action that occurs on a post which includes close votes, undeletes, and reopeners. Please see Anatomy of a Data Dump for a description of all the fields.
Excellent feature request, to add to it:
The Deleters, Undeleters, and Re-openers should be added as well.