Where are all the actions stored?

Photoshop also stores all your actions as part of your personal Photoshop settings. Photoshop saves them into a file called "Action Palette.psp".

This file is for Photoshop CS(aka PS8) located in:

Windows

C:\Documents and Settings\\Application Data\Adobe\Photoshop\8.0\Adobe Photoshop CS Settings\Actions Palette.psp

Mac

/library/Preferences/Adobe Photoshop CS Settings/Actions Palette.psp

All your settings are stored when you quit Photoshop.

Note: This means when Photoshop crashes or you kill it that the most recent changes maybe lost.