If you're on Linux or Mac, run contrib/tidy_datadir.sh if you want to get rid of old, not-used-any-more files in your data directory.
It will safely remove the blkindex.dat and blk000?.dat files.
If somebody wants to write an equivalent .bat file that does the same on Windows, that'd be fantastic! I don't know hardly nuthin about Windows batch files.
As deepceleron says, the blk000?.dat files are hardlinks, so even though it looks like they're taking up space they're not. And they're safe to delete (just don't delete anything in the blocks/ or chainstate/ folders).