Most applications will store user preferences in files in the user folder called *drumroll* preference files. These can be simple text files that are simply hidden by prefixing with a dot (.) or as more complex xml files with the users ~/Library/Application Support/Application folder to System preferences stored in the system Library folder.
So, if you add an application, lets says TextMate (an awesome application I must say:
http://macromates.com/), the TextMate application is usually copied to the /Applications folder. Once you choose your preferred colors, fonts, etc, those settings are stored in a file within your home folder (your user folder) In the case of TextMate, it's a .plist file, which is effectively just a rich text file containing your preferred settings for the application. That settings file will only take up a small amount of disk space and be read only when you run TextMate..