The world is talking ‘data’. The early cross‐disciplinary, business‐orientated hype around the potential of ‘big’ data, with its promises of unprecedented insight into social life, has given way. Data now motivates a sweep of dystopian visions, from rampant commodification to the invasion of privacy, political manipulation, and shadowy data doubles. Yet anthropologists have been cautious in taking data itself as their object, even as the social life of data practices becomes manifest in our ethnographies. In this introduction, we argue for an anthropology of data that is ethnographically specific and theoretically ambitious, putting forward a case for why anthropological engagements with the data moment might be not only politically important but also conceptually generative.