Signals are like empty envelopes.  They can be sent and received but carry no information.  A signal merely informs its recipient that something has happened.  For example, consider the Collection feature, which allows you to examine each item in a collection sequentially.  When the end of the collection is reached, the feature emits a signal via its EndOfSet output.  If you have a feature that should be activated in some way when this happens, you would connect it to the Collection's EndOfSet output.

            

Data, on the other hand, can be thought of as signals with payloads.  Or like envelopes that contain letters.  Each letter is an item of information.  Take the ItemList feature: if you want to add an item to the list, you would connect its Add input to an output that emits data of a compatible type.