Where does WordPress default SimplePie save cache data?
In WordPress, the WP_Feed_Cache class uses the WP_Feed_Cache_Transient class to store the results into a transient. So, short answer, either in the database or in the Object Cache if you have a persistent object cache stored. If you need to cache something for a period of time, use a transient. http://codex.wordpress.org/Transients_API