Finding data created by a certain application?
Android can't/doesn't keep track of arbitrary data created on the SD card.  If you're looking for regular app data such as settings, it's located at /data/data/qualified-app-name where the name is something like com.rovio.angrybirds for Angry Birds, for example.

As eldarerathis notes you'll need to be root to view the data partition; it's protected to prevent malicious apps from stealing your data (etc.).