Thank you all for responding. It really helped.
I will definitely just give 2 weeks notice and not except anything but what they owe me (yea, they actually owe me a few paychecks). From this perspective I should have left long time ago, but lesson learned.
And regarding the data, I don't really care about it. Yeah, I could sell it, and they could never prove it that I've done so, but I don't want to stoop that low. Not my thing, and even thou they were not fair to me I don't feel like doing that.