What are the .Lyx~ files that Lyx is saving near my normal files for? They don't seem to be temp files as these are marked #*.lyx#, and they don't go away.
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They are files created by your editor. Traditionally files that end with a tilde are to be seen as backups of files with the same name but without the tilde. See the wikipedia page for an explanation.

Alexandre Passos
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Ohh I see.. thank you. Does this mean it's safe to just delete them? – Nescio Oct 29 '12 at 09:24
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Yes. There should also be a setting that lets you put them in other directories. – Alexandre Passos Oct 29 '12 at 21:49
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For the reference of those who stumble across this page in future, like me, here's a more detailed answer from the lyx users' mailing archive.
Apparently, the *.lyx~
files are used to recover the file when a save fails. The #*.lyx#
files are used to automatically backup the file every so many minutes. The latter are automatically deleted when the file is saved. The former are not.

Praveen
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