Much of the common data components in Drupal 8 are now handled as entities and entity types, which abstract the data from its storage, so that you don't have to know how or where it's stored - you just make requests using standard API nomenclature and the backend handles the rest.
Drupal 8 introduces the configuration registry for holding simple data that should persist between instances of a site (development, test, production), and can also be used as a data storage backend for simple entity types (e.g. user roles and content types).
Beyond that, there are still some types of non-entity data you may be of interest and value, and every once in a blue moon you may even need to directly access the database (though this isn't recommended in most cases.)