데 is the casual word for 'place' and the clause in front says which sort: 따뜻한 데 가서 수영하구 'go somewhere warm and swim', 아무도 안 가본 데 가죠! 'let's go somewhere none of us has been', 저기 먼 데 가잖아요? 'what if we end up somewhere far?'. 엄한 데 가지 마 is a colloquial 'don't go wandering off where you shouldn't', and 온 데 간 데 없다 in one caption is the idiom 'vanished without a trace'.