What does a pilot mean when he tells ATC that he "has the numbers"?
This is from the FAA's Pilot/Controller Glossary:


  HAVE NUMBERS − Used by pilots to inform ATC that they have received runway, wind, and altimeter information only.


The AIM has some more information in 4-1-13 and 4-1-18, which comes down to "having 'the numbers' is not the same as having the ATIS". The equivalent controller information is in the ATC Orders 3-9-1, 3-10-1 and 7-1-3. For example:


  3−10−1. LANDING INFORMATION  
  
  Provide current landing information, as appropriate, to arriving
  aircraft. Landing information contained in the ATIS broadcast may be
  omitted if the pilot states the appropriate ATIS code. Runway, wind,
  and altimeter may be omitted if a pilot uses the phrase “have
  numbers.” Issue landing information by including the following:
  
  NOTE−
  Pilot use of “have numbers” does not indicate receipt of the ATIS broadcast
  [...]


In most cases, pilots will just tell ATC that they have the ATIS anyway, as Ron described in his answer. But, there are some towered airports that have no ATIS, only AWOS, e.g. Columbus, Indiana (KBAK). In that case, telling the tower controller that you have the numbers is the only thing you can actually do (other than not tell them anything and let them give you the information, of course).