Master data is data that does not change often and is always required by business.
Ex: One-time activities like creating Company Codes, Materials, Vendors, Customers etc.

Transaction data keeps on changing and deals with day to day activities carried out in business.
Transactions performed by or with Customers, Vendors, and Materials etc., generates Transaction Data.

Some important transactions for Master Data are -

Material: MM01 MM02 MM03.
Vendor: XK01 , XK02 , XK03
Customer: Xd01 , XD02 , XD03. 

Some Important transactions for Transaction data are -

Purchase Order: ME21n , ME22n , ME23n.
Sales Order: VA01 , VA02 , VA03.
Goods Receipt: MIGO.
Invoices: MIRO.