Website Data are files, images, cookies, etc... that your iPhone will download when you visit a website in order to be able to show you the website in the browser.
Deleting it normally will do nothing, though for sites where you log in, your logged in status may be deleted, and would have to re-log in the next time you visit it.
The next time you visit the website all this data will be downloaded again since its required to display the website. So deleting it is not very helpful. It also should not be a major user of storage space in any case.