How do I merge similar records with different validity dates?
If this is a table of back-to-back ranges only, your case can be treated as a classic "gaps and islands" problem, where you just need to isolate islands of consecutive ranges and then "condense" them by taking the minimum [from] and the maximum [to] per island.

There is an established method of solving this using two ROW_NUMBER calls:

WITH islands AS
(
  SELECT
    id,
    data,
    [from],
    [to],
    island = ROW_NUMBER() OVER (PARTITION BY id       ORDER BY [from])
           - ROW_NUMBER() OVER (PARTITION BY id, data ORDER BY [from])
  FROM
    #mergeTest
)
SELECT
  id,
  data,
  [from] = MIN([from]),
  [to]   = MAX([to])
FROM
  islands
GROUP BY
  id,
  data,
  island
;


This query will work in as low version as SQL Server 2005.