Internships for PhD students (e.g. in data science or programming) I still have 2-2.5 years of my PhD program, but it want to try my skills in programing, especially in the taste of data science (needless to say, I do it overnight for some hobby projects and I like it a lot). 

Moreover, as working in companies may seem as one of the options "what to do after getting PhD", I would be nice to test how does it work for me in practice, and to learn skills, network, etc.

Is there such a thing as internships (e.g. in data science or programming) for PhD students?

If so, where to search for them?

(If it changes anything, I'm doing PhD in EU; but US would be a nice target.)
Yes. Almost every PhD student in my (US computer science) department has at least one summer internship between admission and graduation.  In fact, most PhD students go through multiple internships.

Off the top of my head, I know CS PhD students who have interned at Google (Mountain View, Manhattan, and Shanghai), Facebook, IBM, AT&amp;T, Yahoo, Motorola, Microsoft Research (Redmond, New England, and Bangalore), Disney, Zynga, Los Alamos, Sandia, Argonne, and Livermore.  Most of these places regularly advertise for interns on the web.