Some application installers give you the choice to change the installation folder, but normally all applications go to the Applications folder.
What do you mean by data files? Your normal files you work with?
You can put them wherever you wan them to.
iPhoto and iTunes are the two applications you should keep an eye out, they save their data (photos and music) in their folders (Music and Pictures).
In itunes you can set the appropriate folder in the Preferences > Advanced tab. You can deselect the option to copy everything there.
iPhoto has one big-ass library file, but you can move it wherever you want. iPhoto will look for it the next time you start iPhoto, and you can choose the folder where it is located.
As for your last question, I can't really help (as I don't seem to understand). Can't you create folder after folder after folder and create a big folder tree and copy those files there, so they are "buried"?