Using DATA was just an example, the same thing happens on a normal filehandle too.

system 'echo "foo" >/tmp/blah';   
open my $fh, '<', '/tmp/blah' or die $!;
while (<$fh>) { chomp; warn "<$_>"; }
warn "One";
$. = 123;
warn "Two";
close $fh;
warn "Three";
$. = 456;
warn "Four";
__END__
<foo> at - line 3, <$fh> line 1.
One at - line 4, <$fh> line 1.
Two at - line 6, <$fh> line 123.
Three at - line 8.
Four at - line 10, <$fh> line 456.
[download]

So LanX is probably right about it being more of a bug than an obscure feature :-)