Templates for both Pages and Keynote are located in two different spots, depending if they are the default templates the application came with, or templates added later by the user.
For the latter, I'm not sure if the location changed for iWork '06, but the latest versions of Keynote and Pages both store added templates in the users Library -> Application Support -> iWork. In that directory, the folder path Pages -> Templates -> My Templates is the default location for user-generated templates (at least, that's the default when you save a document as a new template).
As with Keynote, the default templates that come with Pages are stored in the application package. To access them you need to select the application while holding down the Control key to open the contextual menu, and choose "Show Application Package", which will open a new Finder window with the package contents. For Pages, the templates are in Contents -> Resources -> [language].lproj.