Presumably, they want to do a similar analysis more than once — if @roh_codeur is asking about large-scale code organization, they must not be talking about a one-time throwaway script. If they have a non-trivial amount of code, separating it in a package makes it easier to re-use in multiple different projects.
That is, create a MyDataAnalysis.jl package (hence a module) that has the re-usable parts of the analysis and data acquisition that you want to do. Then, for any particular project or task, write a script or Jupyter notebook etcetera that does:
using MyDataAnalysis # & other packages as needed ...
#... acquire some specific data ...
data = ...
# run some analysis
MyDataAnalysis.frobnicate(data)
To selectively execute code (i.e. re-use pieces), the best approach in the long run is generally to separate it into functions that you call individually, not by commenting out or selectively executing sections in a big script — that way lies madness for large projects.
For small throw-away scripts, of course, I agree — just make a Pluto/Jupyter notebook or similar and edit/execute it in chunks until it does what you want.