It does really depend on the case context and type of data but there are a few buckets that you can always keep in mind for such question. Identifying the "sources of insight" is an important step in problem solving at McKinsey where I would encourage candidates to keep the question in mind as they also prepare to be a successful management consultant.
+ Company data: financial data, customer data, employee data, etc.
+ Interviews: management, customer, front-line, supply chain, etc.
+ Surveys: customer surveys to understand key buying factors, consumer trends, etc.
+ Industry reports: market growth projections and trends, etc.
I am certain my list is not comprehensive and so feel free to add with comments!