What are the config files and where are they located on a JUNOS router?

juniper.conf.gz

It is THE config. It is used for rollback 0.
Note that juniper.conf, juniper.conf.gz and juniper.conf.gz.jc
are morally equivalent.

Lives in: /config

juniper.db

This is the shared candidate database

Lives in: /var/run/db

juniper.data
This is the committed config database (i.e., the active configuration).

Lives in: /var/run/db

juniper.data+
A copy of the candidate db, used during commit check, and
during commit, becomes juniper.data if all is well.

Lives in: /var/run/db

juniper.conf+.gz
This is the candidate configuration and only exists during commit.

Lives in: /config

junper.save
juniper.data may contain the results of expanding groups and applying
transient changes from commit scripts, in either case, juniper.save
represents the committed db before those changes are applied.

This is needed for seeding private edit sessions and looking at the committed config without inheritance etc.

Lives in: /var/run/db

juniper.conf.1.gz through juniper.conf.3.gz
Rollback configurations 1 through 3.

Live in: /config

juniper.conf.4.gz through juniper.conf.49.gz
Rollback configurations 4 through 49.

Also, on JSeries at least the balance of configs in /config and
/var/db/config is configurable.

Live in: /var/db/config

rescue.conf.gz
A copy of a known good and working configuration that you can load in case of an emergency without having to remember which rollback number to use.

Lives in: /config