The home side started woefully and gifted the visitors a two-goal start.
In a game of two halves it then became like the Alamo as Rochdale piled on the pressure but could not find an equaliser.
Bury took the lead after just two minutes when young striker Andy Mangan raced through an alarming gap in the middle of the home defence and calmly slotted the ball past the on-rushing James Spencer.
Bury doubled their lead on 12 minutes when livewire Nicky Adams saw his under-hit shot take a massive deflection off Kevin Lomax and roll past the completely wrong-footed Rochdale keeper.
Dale manager Keith Hill made changes at the break, bringing on substitute Kallum Higginbotham and Rory Prendergast and was rewarded with a better performance that might, on another day, have seen a complete turnaround.
In the early moments of the half the home side went close on three occasions and visiting keeper Jim Provett made a spectacular save to keep out a 30-yard rocket from Lomax.
Rochdale reduced the deficit just after the hour when central defender Rory McArdle headed home a Tom Kennedy cross.
The remainder of the game saw the visitors defending as though their lives depended on it and they held out for a victory that their first-half performance deserved.