These small countries are outside the jurisdiction of larger powers' legal frameworks and are also quite happy to lack any laws governing content.
So, the DataHaven itself is a well-defended (lots of guns), high-bandwidth, crypographically-secure server room where foreign interests can store their information without worrying (too much) about being snooped on or subpoenaed or having it stolen.
Of course, you have to trust the small country not to change its laws when convenient for them, and the haven itself to not snoop on you. Since havens are shady enterprises themselves, this is dicey.
Havens also suffer from SinglePointOfFailure? problems: one good missile will destroy your data; and from dependence on mainstream connection points: just sever their internet connections in friendly nations; and of course on the BenevolentDictator being honest. Kind of against the whole Internet philosophy of "redundant, distributed and deeply connected."
See also CryptonomiconBook.
The first DataHaven is going online soon in the tiny nation of Sealand: http://www.havenco.com
See an interview with ryan@havenco at http://slashdot.org/article.pl?sid=00/07/02/160253.