banlist.dat: stores the IPs/Subnets of banned nodes
bitcoin.conf: contains configuration settings for bitcoind or bitcoin-qt
bitcoind.pid: stores the process id of bitcoind while running
blocks/blk000??.dat: block data (custom, 128 MiB per file); since 0.8.0
blocks/rev000??.dat; block undo data (custom); since 0.8.0 (format changed since pre-0.8)
blocks/index/*; block index (LevelDB); since 0.8.0
chainstate/*; block chain state database (LevelDB); since 0.8.0
database/*: BDB database environment; only used for wallet since 0.8.0
db.log: wallet database log file
debug.log: contains debug information and general logging generated by bitcoind or bitcoin-qt
fee_estimates.dat: stores statistics used to estimate minimum transaction fees and priorities required for confirmation; since 0.10.0
mempool.dat: dump of the mempool's transactions; since 1.5.0.1.
peers.dat: peer IP address database (custom format); since 0.7.0
wallet.dat: personal wallet (BDB) with keys and transactions
.cookie: session RPC authentication cookie (written at start when cookie authentication is used, deleted on shutdown): since 0.12.0
onion_private_key: cached Tor hidden service private key for -listenonion: since 0.12.0

Only used in pre-0.8.0

blktree/; block chain index (LevelDB); since pre-0.8, replaced by blocks/index/ in 0.8.0
coins/; unspent transaction output database (LevelDB); since pre-0.8, replaced by chainstate/ in 0.8.0

Only used before 0.8.0

blkindex.dat: block chain index database (BDB); replaced by {chainstate/,blocks/index/,blocks/rev000??.dat} in 0.8.0
blk000?.dat: block data (custom, 2 GiB per file); replaced by blocks/blk000??.dat in 0.8.0