Why do email addresses of people I have emailed show up in my contacts ? Also why are some message threds in there as well?
The addresses are not in your contacts, but stored in a recipients history. You can change the settings or edit the list in Menu > Settings > Mail > Compose.
There is also a possibility that your email provider is creating a folder of recipients in your contacts. Check with them about that if you see a separate folder in your contact section of eM Client.