How to Teach with Data
There are many strategies for approaching a research question including experimentation, description, modeling, and comparison. (This list is drawn from The Process of Science written by Capri and Egger.) The goals for your course and its context relative to other courses in a sequence will likely drive your answer to this question.
The answer to this question is likely driven by the learning goals for your course (for example, do students need to learn to use an instrument to collect data?) and conventions in your discipline about what 'counts' as data. It also may be influenced by practical questions about what kinds of data are accessible and available to you and your students.