I have seen this question asked a few times on SO - but the answer always seems to be roughly the same:
/Users/myName/Library/Application Support/iPhone Sim
Are you looking for the Library directory through Finder, or on the command line? By default from Lion onwards the Library is hidden. You can unhide it by typing
/usr/bin/chflags nohidden ~/Library
at the terminal, or just navigate there via command line eg:
open ~/Library/Application\ Support/iPhone\ Simulator/