STDIN or Filenames given on Commandline, read with the magic <>

Nope. All that's on the command line isn't read via <>, it is in @ARGV.

Why _DATA__? Because I want to feed it some stuff whose content I don't know.

If you use the __DATA__ token in a perl script, you must know what you put after that beforehand, which is quite the same as with a here-document in a -e script. Well, of course you could append something to a script, and invoke it later, which would be a very odd way to use the __DATA__ token.

But you could feed your script something with a command line switch and use e.g. Getopt::Long:

perl -MGetopt::Long -e 'use Frob; GetOptions("foo=s",$foo); frobnicate
+($foo,$_) while <>' --foo="Some additional data you might pass also a
+s a variable"
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