You should always check all user home directories ("Documents and Settings" on XP; "Users" and "ProgramData" on Vista). Make sure you don't leave out hidden folders like Local Settings or Application Data - many a user has gotten angry with me because I forgot to grab their IE bookmarks when migrating or recovering data.
You should also look for other folders the user might be using - if an application creates user profiles in its installation directory rather than in the user's home directory, get that as well.
Finally, I always check in the root of drives - lots of users sometimes create extra folders or store files in
C:\, just because it's fairly easily accessible from My Computer. Once I found a user who stored a 10GB+ music library entirely in the root of the C drive, and would have been very unhappy to have lost while getting a new system.