Sense data allow us to experience objects in the world.
Sense data are the pieces of information which enter the mind when we experience objects in the world. The mind receives the information through the five senses: sight, sound, smell, touch and taste.
Let us imagine that there is a stone in front of us. The stone itself can never enter the human mind as an object of knowledge. The mind can only sense those properties of the stone, which can be conveyed by the five senses. For example, we can sense the visible attributes of the stone: its shape, colour, etc. or we can feel the texture of the stone. In short, we can experience the properties of the stone, but never have any direct experience of the stone itself.
The stone exists irrespective of whether there is a human mind to experience it or not (although there are some philosophers who question that!). The existence of sense data, however, is dependent on the coexistence of both the stone and the human mind. Dreams and hallucinations aside, we cannot experience a particular stone in a time and place unless the stone is actually there. But it is also true that the sense data which the mind works with (e.g. recognising the stone as a stone, separating it from other things, etc) are dependent on the the existence of a human mind.
Sense data thus has two inseparable sources: (i) the raw material provided by the stone and (ii) the pre-existing concepts of the mind which identify, and organise that raw material into something sensible.
Knowledge resulting from sense data - i.e. from our own personal experience - is known as knowledge by acquaintance or primary knowledge. All the other knowledge that we have - for instance the fact that Hitler is dead - is known as secondary knowledge and is conveyed to us indirectly.