The default sounds are stored in /System/Library/Sounds, in aiff format. However, you should never change the contents of the System folder. If you want to add your own sounds, you can add them to one of the following folders:
a) /Library/Sounds (you may have to create the Sounds folder if it isn't already there) - Put them here if you want every user of the computer to be able to use them.
b) Home/Library/Sounds (again, you may have to create the Sounds folder) - Put them here if you want only the current user to be able to use them.