In your iTunes library along with all other iTunes content on your iPhone.
To view all apps in your iTunes library, select Apps under Library in the iTunes source list. To select the apps in your iTunes library to be installed on your iPhone or to be removed from your iPhone, check under the Apps tab for your iPhone sync preferences with iTunes.
Data created and stored by a 3rd party app on your iPhone is not stored with the app in your iTunes library on your computer. 3rd party app settings and data created and stored by a 3rd party app on your iPhone is included with your iPhone's backup which is updated by iTunes as the first step during the iTunes sync process. Your iPhone's backup is not stored in your iTunes library.
http://support.apple.com/kb/HT1766