Data leakage can give an attacker critical information about your application and Web server setup. Armed with this information, they can create more targeted attacks against your application and increase their chances of finding a viable exploit.
For example, if the application server configuration sends the server version information via the server header within its response packets, and you are running a server version with known vulnerabilities, the attacker knows to spend more of their time focusing on exploits targeting known vulnerabilities. Without that information, the time it takes an attacker to find a successful exploit directly tied to the running server version increases.
Data can also be exposed within error messages that are too verbose. Configuring the server to display only information that the user needs to see prevents them from gleaning any additional information about the application setup. Usually a simple error message to users is sufficient. However, in some cases it may be unavoidable to expose some data about your application to users. Put thought into the potential risk this information could pose. Also consider what an attacker might be able to do if they are able to obtain that information.