I've got a mail message with the subject "DON'T DELETE THIS MESSAGE -- FOLDER INTERNAL DATA," and the body says not to delete the message or important data will be lost. What's going on?

The POP/IMAP servers use this "dummy" message to maintain state across different instantiations of the server. When you read mail with a POP client like Eudora, that message gets created. You can't see it when you read mail with a POP client, but if you use another mail reader (such as mush) it will show it to you as a regular message. It's true that if you delete the message, your POP mailer will lose data about where things are stored, etc.