So for Windows, I agree with Mark - put the data with the module. On a real OS, I guess I'd be inclined to put global data with the module, but user data in ~/.<something>.
Aha! Good distinction.
Modifyable data needs to go in a per-user directory, even on Windows, outside the Python tree.
But static data needs to go in the same directory as the module that uses it. (We use this in the standard test package, for example.)
--Guido van Rossum (home page: http://www.python.org/%7Eguido/)