Personality and demographics are important variables in social sciences and computational sociolinguistics. However, datasets with both personality and demographic labels are scarce. To address this, we present PANDORA, the first dataset of Reddit comments of 10k users partially labeled with three personality models and demographics (age, gender, and location), including 1.6k users labeled with the well-established Big 5 personality model. We showcase the usefulness of this dataset on three experiments, where we leverage the more readily available data from other personality models to predict the Big 5 traits, analyze gender classification biases arising from psycho-demographic variables, and carry out a confirmatory and exploratory analysis based on psychological theories. Finally, we present benchmark prediction models for all personality and demographic variables.