Data can be used in two different ways: as the plural of datum or as a mass noun. The second usage is more recent. It is never singular.

My theory for why this is so goes like this:

A datum is a single fact, a value or bit. When you deal with only a few of them it makes sense to count them: One datum, another datum, here are the data.

These days, now that a 10 million byte MP3 data file is common, we are looking at the values from so far away that the individual bits are no longer visible, and what was a lot of discreet points has merged into a continuous stream of data, like air composed of molecules: Here is a lot of data.