Depends on what 'data' you want to embed. A placemark 'balloon' that pops up when you click a placemark can contain any text you want. Basically it allows a fairly basic range of html tags, including the img tag, so you can show images as well.

Probably the best way is to experiment with the Google Earth program and create some placemarks, but if you want to try your hand at editing KML files (which is XML) then see:
http://earth.google.com/kml/kml_tut.html#descriptive_html

See also these basic training, and advanced training


If however you want more dynamic data, such as animations or movies, and data that is periodicly updated then it not really possible. You can however have your server create KML files using the latest data, which will be the viewer can automatically fetch.

- Perhaps have a look around, and the post a new thread if you have specific problems....