This idea that the data is so lacking appears to be overstated.

First, the population studies relied on by the anti helmet crowd, address the issue of whether mandatory helmet laws are effective in reducing injury. That is a different question than whether you can reduce your own risk of injury by choosing to wear a helmet.

Second, the studies used to claim that helmets don't reduce risk don't say that, at least that I've seen. There are some that say that they can't prove the effectiveness of a mandatory helmet law in reducing risk due to the number of confounders.

No one in any of these threads has posted studies showing helmets don't work, just studies questioning the proof that they do.

Three, there is data showing helmets reduce risk:

The Effectiveness of Bicycle Helmets:A Review
Revised Edition Prepared by Dr. Michael Henderson
for the Motor Accidents Authority of New South Wales, Australia.
1995

"SUMMARY AND CONCLUSIONS
Wearing a helmet substantially reduces the risk of head injury to a cyclist in a crash. This has been shown by a raft of strong evidence generated by epidemiological and biomechanical research, and cited in the present report. ....

Among the findings of the better studies are the following:
The effectiveness of crash helmets for motorcyclists has been studied for decades, and they are known to reduce the risk of severe head injury by about one-third
The most careful, conservative estimates from good studies show that the reduction in risk of head injury to a bicyclist as a result of wearing a helmet is in the order of 45 per cent. In other words, at the very minimum a helmet halves the risk of head injury.
Other estimates from controlled studies give even higher risk reduction figures. Depending on the type of impact and the severity of injury, the reduction in the risk of head injury as a result of wearing a helmet has been shown in several studies from all over the world to be in the range of 45 per cent to 85 per cent.
Those who do not wear helmets are several times more likely to sustain injury to the brain tissue than riders who do.
For children, an Australian study has shown that the risk of injury is reduced 63 per cent for head injury and 86 per cent for loss of consciousness, when a helmet is worn. For loss of consciousness, the risk is over seven times higher among non-helmet wearers than among helmet wearers.
In the two years after the compulsory helmet legislation was introduced in Victoria, the number of bicyclists with head injuries decreased by 48 per cent and 70 per cent in each of the two years, relative to the last year before the law.
In Queensland, the rate of head injury from bicycle crashes fell by more than half following the introduction of a helmet-wearing law; admissions to hospitals with bicycle-related injuries other than to the head remained unchanged over the same period.
Helmets designed to the Australian and Snell standards provide a margin of protection in the real world greater than the respective standards require.
Old-style helmets that do not comply with the Australian Standard reduce the risk of head injury by little or nothing.
The vast majority of head impacts occurring in the real world of traffic are easily survivable if a Standards-approved helmet is worn.
No studies have come to conclusions contrary to the above."

Four,

The anti helmet crowd goes to extreme lengths to pick at the data contrary to their position, not dissimarly to the way the Tobacco industry used to pick apart cancer studies, and the Auto Industry quibbled with seatbelt data and airbags.

See e.g. http://www.cyclehelmets.org/1147.html

Five,

Using a helmet, makes biomechanical sense. You can measure the decrease in force (G's) imparted to the brain, as a result in the change in Delta T which occurs from the crush of the helmet.

Thus, there is a sound logical reason, to believe that the studies that favor helmet use are likely correct.