I'm not sure why you got no warning message. My machine prompts me with the typical Windows message of "Are you sure you want to delete this? Yes/No" if I use the delete key on anything. In fact if I delete a folder (not a geodatabase or any kind of individual file, feature class, etc.) using the key, it does send it to the Recycle Bin. I'm on 10.2 on Win 7 at the moment.
There are potentially data recovery methods to get stuff back without restoring a backup, but time (or more accurately continued activity) is a critical factor. Any continued work or anything saved to the computer (including background information written by the OS) could potentially overwrite the data you want to recover.
The absolute safest thing to do is shut the machine down, pull the drive, and access it using another machine. However a quicker alternative that is usually still viable is just to download and install a recovery program to a different drive or USB key, then run it and see if you can still 'undelete' your files. One free utility to do this is Recuva. There are some others, as well as paid-for programs that do similar or more extensive recoveries. For a simple delete though, that one should do.
Even if they aren't in the Recycle Bin, deleted files typically aren't actually deleted - just the pointers to them. They're only gone when they're overwritten on the drive.