Answer:
Generally they're the same thing. People just use both generally, for example: Hey, I've got lots of data on that pen-drive, don't break it!!
Hey, I've got lots of information on that pen-drive, don't break it!!
But grammatically, I'd never heard of 'a data' but 'a set of data', and for information, you use 'a piece of'.
Hope I helped!! :)