Physical representations of data have existed for thousands of years. Yet it is now that advances in digital fabrication, actuated tangible interfaces, and shape-changing displays are spurring an emerging area of research that we call Data Physicalization. It aims to help people explore, understand, and communicate data using computer-supported physical data representations. We call these representations physicalizations, analogously to visualizations -- their purely visual counterpart. In this article, we go beyond the focused research questions addressed so far by delineating the research area, synthesizing its open challenges and laying out a research agenda.