It depends on your setup. However, the basic load balancing setup includes a single database server. In the Django Book, in the chapter about Deploying Django, there is a simple diagram that illustrates a basic load balancing configuration.
Basically, the computers that generate web pages all share the same database, which is stored on a dedicated server. Media files (e.g. CSS and images) may be stored on the same server or on a separate, dedicated media server, although this role may be performed by the load balancer itself.
However, in advanced setups aiming really high traffic or a lot of static content, you might want to serve static files on several different media servers. Finally, you may want to have a distributed database setup, but this introduces a whole new class of problems, and that is really a different topic (e.g. you can have a distributed database without using a load balancer).