Your data folder is the images for the ads in your site.
Nothing is an issue that I am seeing from your description. empty folders would be common if you have categories that have no content.
Folders with images are related to ads on your site. If you are running the cron task and expiring ads then when you go to admin the old ads should be deleted.
Now note I say should. We issue a delete command on the server on the file paths of any images related to the ad. Now if your server does not delete the image it could be a permissions issue.
I really can not say without clear exact information on the site. I would need to see the folder the category the database etc and see whats what.