Search data is a generic term which refers to all types of data collected from search activities (search queries) on search engines or merchant / publisher website through internal search.
Search data can be aggregated from all users and used to identify search trends and activities. Search engines are evidently at the front seats for using search data but PPC bidders can also access search data through specific keyword research tools.
Search data is esssential for SEO and SEA optimization.
See also search hisoty.