I think it would have been cool for Data to have had a communicator and a tricorder built into himself. this way he could communicate and be able to do a sensor scan of his surroundings or specific items as natural abilities. It would make some sense to me.
I think this was mentioned on here before about him having built-in equipment. For the rarely-watcher, and even some always-watchers, having him just stand there and spout off info with no visible way of him knowing it would be odd.
I remember there being some mention in Bridge Commander about being able to communicate with Data on a very specific frequency when regular communications didn't work... but games aren't canon. Also, it would make him seem less humanlike and thus he wouldn't fit in as well, kinda like the EMH in Voyager (He's tied into sickbay's systems, yet he needs to physically read a tricorder or use computer consoles.)
If these were built into him, it would eliminate the important plot complication of having the bad guy take them away.