Unexpected EOF means that the bcp reader found an EOF when it was expecting more data. This EOF can be:
(1) the actual physical end-of-file (no more bytes to be read). This means that you have mis-formatted data. Check near the end of your file for an incomplete record.
OR
(2) on Windows, where you are, programs reading a file in text mode honour the ancient convention inherited via MS-DOS from CP/M of regarding Ctrl-Z (aka ^Z aka \'x1A' aka SUB aka SUBSTITUTE) as an end-of-file marker when reading from ANY file, not just a terminal. This includes Python -- the behaviour is determined by the C stdlib. Check for '\x1A' in your data.
Update responding to comments in a legible fashion:
In Notepad++, you can make it display unusual characters by doing View / Show Symbol / Show All Characters. You can search by doing Ctrl-F, typing \x1a in the Find What box, and selecting the Extended radio button in the Search panel.
Or you can with a little bit of Python get the line number of the first Ctrl-Z:
bytes = open('bcp.dat', 'rb').read()
zpos = bytes.find('\x1a')
# if zpos is -1, no Ctrl-Z in file
print 1 + bytes[:zpos].count('\r\n')
Where your .dat was created doesn't matter. An unintentional Ctrl-Z can happen anywhere in a file created on any operating system. It is where it is being read as a text file that matters -- Windows? Bang!