You can remove blk0001.dat, blk0002.dat, blk0003.dat and blkindex.dat from the root data directory after a reindex is complete and you are caught up with the blockchain (and you don't plan on going back to an older version). Only blkindex should actually be using disk space, as the old BLK000x data are moved upon upgrade, and the blk000x.dat files you see there are hardlinks (shortcuts) on any filesystem that supports hardlinking.
The new database for v0.8.0+ is stored in two subdirectories, "blocks" (block data, with block id database in "blocks/index"), and "chainstate" (unspent output database). Do not mess with files in these subdirectories.
