The Roaming folder is copied between machines when roaming profiles are enabled (in a domain environment). Use it for application data that you want to share between machines. But don’t store large files in there — IT departments don’t like it when you do that, and it increases the time taken for the user to log in and to log out as the files are copied around.
The Local folder is not copied between machines. Use it for application data that’s specific to a machine.
The LocalLow folder is used for low-privilege tasks (such as Internet Explorer). You shouldn’t need to worry about it.
For files that the user specifically saved, you should put them (by default) in the Documents folder.