Depends on your version of Windows:

Win XP/2000:
\Documents and Settings\%USERNAME%\application data\runic games\torchlight

Windows Vista / 7:
\Users\%USERNAME%\AppData\Roaming\runic games\torchlight

The AppData folder is by default hidden, so you might not find it using the Explorer.
Furthermore the folders before "runic games" are named differently in non-English Windows.

Jumping there by shell command always works:

1. Press Windows-Key and R on your keyboard and a window appears, where you can enter commands.
2. Copy-paste the following, to jump to the desired folder: %appdata%\runic games\torchlight
3. Explorer opens at the desired location

Or you can make them visible by changing Windows settings (e.g. in Win XP Explorer => Tools => Folder Options => View Tab => Show hidden files and folders).