Data is a pretty broad term. The most obvious example of data is the information that websites you use collect about you. But anything can be data.
Currently, companies like Facebook and Google are gathering information about you and monetizing that information. Many of these companies allow you to export some of your that information.
You can also collect and sell any other type of data. We think data brokers as selling to advertisers, but other people buy data all the time. You might buy kindle books. Or music from iTunes. Here are some ideas: