I've spent some time in the economics field and certainly found that getting access to quality data was an enormous challenge. In fact a good amount of the work is spent putting together data sets. This is probably the bulk of what econ grad students do.
Besides this, it's important to recognize the difference between identifying correlations and patterns in data vs understanding the mechanisms behind the phenomena. Krugman makes a strong point: "The problem is that there is no alternative to models. We all think in simplified models, all the time. The sophisticated thing to do is not to pretend to stop, but to be self-conscious -- to be aware that your models are maps rather than reality." [1]
Data-mining will help generate and support hypotheses, but this is complementary to model building.