Interesting that you should prefer 'they', referring to the plural data; some versions of the aphorism also use this form - in retrospect, I prefer this form.

Torturing data is a common problem in my field (geophysics). With large but sparse datasets, data can be manipulated to mean almost anything. Normal procedure: first make a reasonable model for the given context; then make a measureable prediction based upon your model; then collect an appropriate dataset by 'tuning' your measuring apparatus to the model; then process your data in a standard way. In the case that that your model is not necessarily wrong; then make another measureable prediction based upon your model; collect another dataset by an independent experimental method; then ...

Even when following this procedure, models are often later found to be wildly erroneous; in other words, all of the experimental support for your model was dreamt up.