To see it go to the Finder, hit command-shift-G (ie Go To) and type in ~/Library/. On OS X 10.8.x and later, Apple have hidden the /Users/USER/Library/ folder. The executable and DLC folder are in Users/USER/Library/Application Support/Steam/SteamApps/common/Europa Universalis IV/ The user files (settings.txt, error logs, saved games, gfx, mods) are in C:\Users\USER\Documents\Paradox Interactive\Europa Universalis IV\ The default location for the executables (eu4.exe and eu4_launch.exe and DLCs) is in C:/Program Files/Steam/SteamApps/common/Europa Universalis IV/. Please point out any errors or additions below.
This is a modified copy of the sticky thread with a similar title from CK2.