New basis sets of the atomic natural orbital (ANO) type have been developed for the lanthanide atoms La-Lu. The ANOs have been obtained from the average density matrix of the ground and lowest excited states of the atom, the positive ions, and the atom in an electric field. Scalar relativistic effects are included through the use of a Douglas-Kroll-Hess Hamiltonian. Multiconfigurational wave functions have been used with dynamic correlation included using second-order perturbation theory (CASSCF/CASPT2). The basis sets are applied in calculations of ionization energies and some excitation energies. Computed ionization energies have an accuracy better than 0.1 eV in most cases. Two molecular applications are included as illustration: the cerium diatom and the LuF3 molecule. In both cases it is shown that 4f orbitals are not involved in the chemical bond in contrast to an earlier claim for the latter molecule.