Data would be curious about Odo and ask him a few questions about what it's like to be a Changeling. Then Odo would shapeshift himself to look like Data, and in Data's voice say something like "I can look like anything I want, but that doesn't change who I am. It's a conundrum I face every day I exist, but at least I know my purpose. Do you know yours?" Data would be left even more puzzled than before he came, and Odo would have the satisfaction of having done it.
Odo very rarely shapeshifted just to prove a point. It stemmed from Dukat and all the other Cardassians gawking at him over the infamous Cardassian Neck Trick.