Xmoto directory on Mac OS X
If you have Mac OS X and wonder where to put the downloaded levels/replays/something, here are two solutions:
Switch to the finder and select the command "Go to folder..." in the menu "Go to" (I translated these into english, so if the actual english names differ please correct this page). The folder you are looking for has the name "~/.xmoto" (without the quotes, of course). If you have a german Mac OS X, the ~ is hidden in the key combination alt+n, followed by a space.
If everything fails and you cannot manage to type the ~ at all, you can always use the long version: ~ expands to /Users/your_username/, with "your_username" of course replaced by the appropriate name. So you can type "/Users/your_username/.xmoto" as well.
Indirect, permanent method
Open Terminal.app and enter the following command:
defaults write com.apple.finder AppleShowAllFiles -bool true
After that (maybe after a logout/login sequence), every hidden file is shown by the finder, so you should see a directory called .xmoto in your home directory.
If you'd like to hide the hidden files again, just open Terminal.app again and write
defaults write com.apple.finder AppleShowAllFiles -bool false