I have some zip files on my iPhone 3G (running 3.0.1), and I've unzipped one of them twice, but I can't find where they're being sent to, and I can't specify where to put them. Does anyone know where they go?

The root of the unzipped tree goes in the same place where the zip file is.

So if your zip file contains var/mobile/File1.jpg and var/mobile/File2.jpg, and you have put the zip file in /User/Library/ then the files will end up as /User/Library/var/mobile/File1.jpg and /User/Library/var/mobile/File2.jpg.