The Nexuiz 'data' directory is the folder that holds all the files for the game. Any maps or otherwise packages you download should usually be placed here. All screenshots, videos or otherwise data you generate in game are also usually stored here.
On Windows, the data directory directory is “<folder you extracted it to>\Nexuiz\data”. It may also be in your Documents, in a subdirectory of the Games folder.
On OSX/Linux the data directory is “~/.nexuiz/data” which will share the files globally for the user with any version of Nexuiz, or “<folder you extracted it to>/Nexuiz/data” for a single version.
Packages inside the data folder will load in alphabetically order. Any package coming after another will override previously loaded files. Unpackaged files will override packaged files. “~/.nexuiz/data” files will override “Nexuiz/data” files.
To learn more about package files, check out [How-to] Begin mapping like a ninja - packaging your map