What is Linked Data?
Linked data is… data you can link to. That’s because it’s built on all the mechanisms of the web, so each thing you want to describe gets a URL that is used both as an identifier for that thing and as an address you can look up to find information about it. Effectively every item in your dataset gets its own web page.
A Linked Data identifier from Defra's Data Services Platform
The data formats and protocols of linked data are all W3C standards, offering the possibility for different organisations to make their data available in compatible ways.
You can of course link to a whole Excel file or CSV file or Shapefile, without needing linked data, but in that case you are pointing to a whole bucket of data, and you need some other mechanism to be more specific ('open this link then go to row 125, column H'). That's much less standardised and much harder to use in an automated context.
Linked data uses the data-modeling specification RDF ('Resource Description Framework') as the underlying way to represent the data. That is a very flexible approach that allows (even requires) you to be very precise about your data and is great for machine processing and data integration. It's not necessarily the easiest thing for most users to work with, but because it is precise, and easy to process in software then it's straightforward to create all kinds of other outputs from it according to what the data is and what users want - web pages, CSV, JSON, Shapefiles, etc.