Typically with lots of data you're looking to do two things:
- Cram lots of data into a limited space, and/or
- Make it readable.
If you get both, that's ideal.
When it comes to the "safe" web fonts, I think that Tahoma tends to be a little more vertical and thus can get more data squished in. Typically Verdana and Georgia are regarded as the most well-designed of the six or so; Verdana in particular is very readable but takes up a lot of width to do so.
Depending on who's using the site, you should definitely take a look at Calibri. Microsoft's ClearType fonts are well-designed, fairly well-regarded, and not ubiquitous enough to be annoying yet. Calibri is modern, made for the screen, and is pretty narrow - a good compromise. If you need something monospace, look at Consolas over Courier New. ClearType should be pretty well saturated by now; anyone with Vista or a version of Office that's 2007 or later (2008 for Mac) will have them. And apparently you can get them freely as well; Wikipedia has more on this.
If you're looking to buy, check out FF Info. Haven't used it but it has a good pedigree and seems to be well-built for lots of data.
And, as Joonas commented, fonts aren't the only way to make something readable. Watch your line-spacing and cell padding, stuff like that. It can make a world of difference.