It depends on what app you use to download. If you are using iPhoto, iPhoto will put them into your iPhoto Library. If you use Image Capture, the default location is in your Home/Pictures folder.
Well, I don't know. All I know is that when I connect the camera to my computer the photos get downloaded. I don't recall ever choosing any app to do that or even thinking about it. I had just assumed that it was supposed to be automatic. In other words, I haven't consciously been using any app or program. I just connected the camera to the computer with a cable.