You need to provide more information about what you are trying to do, this will effect what type of parts you use and how you write the code and how you design the PCB also.
Remember that VHDL describes hardware. Therefore, if you want to store a few bytes of data, you could use an array. However, for a lot of data, if you use used an Array, it is likely that you will not be able to fit the design into your device and you will have to use internal FPGA memory blocks or an external memory.