Well.. the most obvious places are the folders that are labelled "Documents, Music, Movies and Pictures".
Those are where most apps will default to storing the files. Settings are stored in the Library, meaning /Library, /System/Library and ~/Library.
/<insert word here> means that it is at the root of your drive. So, in Windows terms... C:/<insert word here>. ~/<insert word here> indicates that it is at the root of the User's folders. So, /Users/<insert user name here>/<insert folder name here>.
Safari will download to ~/Downloads.