Well as we all know, data science is a very broad branch and learning it is a very uphill task. And mastering it require a lot of hands-on practice.
Data Lake is big data storage and compute offering that is really something amazing. You can think of it almost like Hadoop, but with the ability to dynamically scale based on available resources.
Data Factory is an offering that makes creating data movement and processing pipelines as easy as defining some configuration values. With it you can schedule preprocessing, scoring (via Azure ML), and move the results somewhere easily accessible (like Azure SQL).