It goes anywhere on the intake piping between the turbo and the throttle body. When you are under boost and let off on the throttle the TB valve closes causing instant back pressure. The BOV opens at the same time to relieve the back pressure so you dont get comressor stall. Most people put the BOV as close to the TB as possible.
Opron... the blow off uses a boost/vacuum referenced signal (coming from intake manifold). This is how it knows when to open/close. In the pics SupraRacer posted, you see a hose running from the blow off valve, to the turbo inlet hose (again, hard to see in pics). Our air flow meter equipped cars need the blow off to be recirculated back into the intake, after the AFM, and before the turbo. Why? This air thats been "blown off" has already been measured by the air flow meter, and the computer has already told the fuel injectors how much fuel to flow to match the air volume. If the blow off valve were to vent to the atmosphere, the car would have some stalling issues, and a temporary "rich" condition, since the "measured" air is no longer in the system (atmosphere vent system).