Problematic use of data, patterns of bias emerging in AI systems, and the role of platforms like Facebook and Twitter during elections have thrown the issue of data ethics into sharp relief. Yet the focus of conversations about data ethics has centered on computer scientists, engineers, and designers, with far less attention paid to the digital practices of artists and others in the cultural sector. Artists have historically deployed new technologies in unexpected and often prescient ways, making them a community able to speak directly to the changing and nuanced ethical questions faced by those who use data and machine learning systems. We conducted interviews with thirty-three artists working with digital data, with a focus on how artists prefigure and commonly challenge data practices and ethical concerns of computer scientists, researchers, and the wider population. We found artists were frequently working to produce a sense of defamiliarization and critical distance from contemporary digital technologies in their audiences. The ethics of using large-scale data and AI systems for these artists were generally developed in ongoing conversations with other practitioners in their communities and in relation to a longer history of art practice.