Where should cross-platform apps keep their data?

I'm building an application that is targeting Windows, Mac and Linux soon. I was wondering where should I keep application data such as settings, etc.

Application's installation folder is the easiest choice, but I think that might be a problem with new Vista security model. Besides, users might want different settings.

Is it C:\Documents and Settings\username\MyApp good for both Vista and XP? Is it /home/username/.MyApp good for Linux and Macs?

Any ideas and/or links to best practices much appreciated.

Thanks!

Juan