When we talk about sensitive data, we refer to special categories of personal information, which should be more carefully handled by the processor.
The main difference between regular personal data and sensitive data is that sensitive data could potentially lead to the user’s discrimination, if shared.
That’s because they include information such as race or ethnic origin, sexual orientation, religious beliefs, but also information about the user’s health, for instance.
International laws on data privacy may have different views on sensitive data.
Anyway, there is one common ground: all the laws agree that you should collect and process sensitive data only if they are really necessary to your activity. If you do need to collect sensitive information, then you should store it securely and with the utmost care.