File Locations on Windows
The default location for the executables (eu4.exe and eu4_launch.exe and DLCs) is in C:/Program Files/Steam/SteamApps/common/Europa Universalis IV/ .
The user files (settings.txt, error logs, saved games, gfx, mods) are in C:\Users\USER\Documents\Paradox Interactive\Europa Universalis IV\
File Locations on Mac OS X
The executable and DLC folder are in Users/USER/Library/Application Support/Steam/SteamApps/common/Europa Universalis IV/
On OS X 10.8.x Apple have hidden the /Users/USER/Library/ folder. To see it go to the Finder, hit command-shift-G (ie Go To) and type in ~/Library/ .
The user files (settings.txt, error logs, saved games, gfx, mods) are in /Users/USER/Documents/Paradox Interactive/Europa Universalis IV/ .
File Locations on Linux
The binary and DLC folder by default are in ~/.steam/steam/SteamApps/common/Europa\ Universalis\ IV/
The user files (settings.txt, error logs, saved games, gfx, mods) are in /home/$USER/.local/share/Paradox Interactive/Europa Universalis IV
If you run a CK2 savegame export, then that will appear in /home/$USER/Paradox\ Interactive/Crusader\ Kings\ II/eu4_export/mod