With AmiBroker, NinjaTrader, MultiCharts, and most other such software they do not provide the data. It must come from a separate source. So, regardless of AB, NT, MC you will pay the same data fee. eSignal does provide the software and the data. I find them to be expensive and not very helpful (they said it would be more than $300 for a free trial and wouldn't provide a straight answer as to why). Most trading software can work with a variety of data feeds. I believe there is a thread on EliteTrader for data feeds. Some brokers provide data for free or low cost. It depends upon what you are doing as to how important the quality and timing of the feed needs to be. If your system requires tick-by-tick data for every trade then you will be spending north of $100 per month. I've designed my system to be happy with the free semi-realtime data from Interactive Brokers. You can also get free end of day stock data from several sources (e.g., Google, Yahoo). Hope this is of some help.
AmiBroker is open architecture. You are not dependent on what connections the platform offers out of the box. So in addition you can connect to any data vendor providing API access or already providing ready to go access to AB. Anyway there are several AmiBroker SDKs in several programming languages like C/C++ or .NET. The advantage of AmiBroker is that you have full control and can do with it whatever you like to do.