What information does a lightning network node hold? Just setup my first lightning network node, what information exactly am I downloading when syncing?
When syncing the bitcoin node (a prerequisite to running Lightning securely), you are downloading the entire blockchain and validating all historical transactions, which takes a while and a over couple hundred GiB of information. Having a full validating node means that you are always receiving valid transaction information yourself, and you are not relying on third-parties who could present false information, or where you may have privacy leaks by requesting information about transactions from others.

The bitcoin node will continue to receive new blocks and transactions as they occur on the network, and each block acts as a synchronization point approximately every 10 minutes.

When initially syncing the Lightning node, you are receiving the most recent information about online nodes, open channels, and the policies by which you can send payments through those channels with Lightning's onion routing. By default, this information is limited to the previous 2 weeks only, so historical information about nodes and channels is not transmitted or stored. 

After the initial sync, your node will constantly receive and rebroadcast new information about nodes and channels over Lightning's gossip network. Each node broadcasts information about itself or its channels each 2 weeks if there have been no changes and the channels are still active. Any changes to channel or node states are broadcast immediately, but nodes may limit the frequency of updates they accept to prevent potential DoS which would degrade the network. These broadcasts are also timestamped and signed.