There is a file named %FF at the root. What is it for? I just noticed that I have this file at the root of the disc.

-r--------    1 root  wheel     0B  3 ago 00:38 %FF


The file is empty and it was created August 3rd. I did not created it.

Do you know what this file is for? Can/Should I delete it?
That file isn't from OS X proper, so deleting it would likely be a good thing. I wish I could offer advice but haven't seen or heard of it, but it could be harmless or a problem with some software so checking that it doesn't re-appear might be good in a week. Anything writing things as root outside the normal user home folder or temp folders could be a sign of compromise or malware.