All programs should tell you where they store config files
utcc.utoronto.ca
I wholeheartedly agree with this blog post. I believe someone on here yesterday was asking about config file locations and setting them manually. This is in the same vein. I can't tell you how many times a command line method for discovering the location of a config file would have saved me 30 minutes of googling.
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The different OSes generally have a prescription for where to put things. Windows is a stickler about Program Files and the only thing that should exist there is install content.
My Games and Saved Games is a remnant of times past when they were trying to figure out where to put that stuff. Generally, %Appdata% is where they recommend storing config and files that your application may mutate over time. e.g save files or logs
They just decided it didn't make sense to break that stuff up and not every application dev has caught up to that.
For Mac, the /Library/Application \Support directory is where config files should live. Though some apps support /Users/<user>/.config for account level configs.
For Linux, as others have pointed out, /etc for global config or /home/<user>/.config for account level config.
The frustration about not knowing where to find things either comes from not knowing the standards or developers not following them. (Or Microsoft changing them every 2 versions)
Edit: Mac uses Users not home.
Yep. My main gripe is that due to various developers not catching up with new standards, a users files can be scattered all over the place.
I appreciate that - in theory - %appdata% should contain just a users files, but a number of apps also use it to store program data leading to a huge folder size. My own is >100GB, with some of the largest offenders being python and node dependencies that are not specific to myself, and could really be cached somewhere else.