Many applications in OS X are self-contained applications packages, where all of the resources that the program needs to run are located within the .app file that you put in your Applications folder or elsewhere on your system. This .app file is actually a folder that contains the program executable, along with configuration files and other resources that can sometimes be quite extensive.
This approach to managing programs differs from the classic approach where program installers place them and their resources in specific folders or other locations on the filesystem (such as the system folder) that are needed for the program to run. While many developers subscribe to a self-contained approach, others still need to place resources such as frameworks, extensions, plug-ins, and fonts in shared locations on the system.
These programs are generally distributed as installer packages which look like an orange box, and which are downloaded in a disk image, ZIP file, or other container. When opened, these packages will launch the OS X installer utility, which is located within the /System/Library/CoreServices/ folder, and which will read the package contents and place them in the appropriate locations. The installer utility is a central way for developers to perform checks for operating system requirements or other details before installing, and also is a way to have the system create receipts after installation, which can be used to include their installed files in.
Since programs distributed in installer packages may place multiple files in the system folder, global library, and hidden folders on your boot disk, it may help to check what these changes will be before committing to installing the software.
To do this in OS X, open the installer package of your choosing and the central OS X installer program will open. Initially you should see the standard interface that welcomes you to the application's installer with the various "Introduction," "License," and "Destination" steps among others listed in the left-hand side of the window. At any of the steps before "Installation" you can choose "Show Files" from the File menu, or press Command-I, and a window should appear which lists each file in the package and the location where it will be placed.
For example, the installer for the Cisco VPN client (seen in the screenshot to the right) will install a kernel extension, API files, and some background tools along with the main VPN program itself. Upon expanding the API section of the file list, you can see it first lists a period (the reference for the targeted root directory -- which, in this and most cases, is the hard drive), followed by a path to the Library and then a path to the Library/Frameworks folder. These entries show that this component of the installation will be placed in the /Macintosh HD/Library/Frameworks/ folder, since the installer will check for and create these folders if they do not exist, followed by placing the remaining listed files in this location. This process is then repeated for additional components that need to be installed.
One alternative method for previewing files in an installation package is to download the popular package manager Pacifist (from CharlesSoft) and use this to open the installer package. In Pacifist you can then expand the directory tree of the installer to see what files are included and where they will go. While Pacifist is a great tool to use for this and other purposes, sometimes it will not open some installer packages, especially older ones that may have special setups. In these cases, using the OS X installer's file listing should still work.