First-party data is the data you collect directly from your audience.
Benefits: readily available, accurate, relevant, secure and cost-effective.
Second-party data is the data you buy from a partner company that collects from its audience.
Benefits: access to niche data outside of your first-party dataset, high-quality, precise, transparent, allows for price negotiations and opportunities for a long-term business relationship.
Third-party data is mainly data collected from various data owners by an aggregator (who may have no connection with you) and sold as a packaged data set. In this topic, data marketplaces fall under this category as the data sets are aggregated from various data sources.
Benefits: fills the gaps of the first and second-party data by providing larger data sets of external audience segments and events.