Where are the save game files stored?

Windows

You can find your saved game files in the following folder:

%USERPROFILE%\Saved Games\Pillars of Eternity II

%USERPROFILE% typically defaults to "C:\Users\<your login name>" but you can enter it into Windows Explorer as shown above.

mac OS

For the Mac, you can find your saved games in the following folders:

Steam/GoG: ~/Library/Application Support/Pillars of Eternity/Saved Games
MacPlay: ~/Library/Containers/com.mpdigital.pillars2/Data/Library/Application Support/Pillars of Eternity II/Saved Games/

Linux

On Linux, you can find your save game files in the following folder:

$XDG_DATA_HOME/PillarsofEternityII

$XDG_DATA_HOME is based off of the XDG Base Directory Specifications and typically defaults to $HOME/.local/share.