Data Assimilation is a cornerstone of atmospheric system modeling, tasked with reconstructing system states by integrating sparse, noisy observations with prior estimation. While traditional approaches like variational and ensemble Kalman filtering have proven effective, recent advances in deep learning offer more scalable, efficient, and flexible alternatives better suited for complex, real-world data assimilation involving large-scale and multi-modal observations. However, existing deep learning-based DA research suffers from two critical limitations: (1) reliance on oversimplified scenarios with synthetically perturbed observations, and (2) the absence of standardized benchmarks for fair model comparison. To address these gaps, in this work, we introduce DAMBench, the first large-scale multi-modal benchmark designed to evaluate data-driven DA models under realistic atmospheric conditions. DAMBench integrates high-quality background states from state-of-the-art forecasting systems and real-world multi-modal observations (i.e., real-world weather stations and satellite imagery). All data are resampled to a common grid and temporally aligned to support systematic training, validation, and testing. We provide unified evaluation protocols and benchmark representative data assimilation approaches, including latent generative models and neural process frameworks. Additionally, we propose a lightweight multi-modal plugin to demonstrate how integrating realistic observations can enhance even simple baselines. Through comprehensive experiments, DAMBench establishes a rigorous foundation for future research, promoting reproducibility, fair comparison, and extensibility to real-world multi-modal scenarios. Our dataset and code are publicly available at https://github.com/figerhaowang/DAMBench.