In online advertising and digital marketing context, first party data refers to data collected from direct contact with customers. It is mainly data compiled by a website about his visitors.
With the development of custom audience targeting, where you can upload a list of emails to Facebook or Twitter for targeting purposes, third party data refers more and more often to CRM data (email address, name, etc.).
First party data is potentially made of:
registred profiles (via webforms)
browsing histories on the website (via cookies)
According to "Exploring trends and impacts of data driven marketing", a BlueKai 2013 study, the most frequently used types of first-party data are:
website data (83%)
CRM /registration data (79%)
email data (72%)
digital campaign data (67%)
search data (45%)
mobile site or app data (28%)
First party data can be used directly by the website for personalization or recommendations, for email marketing and can also be used for displaying or selling targeted ads.
First party data is commonly "opposed" to third-party data.