I stick all mine in a C:\Games\ directory. Mind, that goes back a few years where different companies chucked them in different directories. Some defaulted to the root, others Program Files, others god only knows where. These days it doesn't really matter unless you're mucking about with older games.
Dang, soooo many trolls today. Program Files is fine if you run older windows, but assuming you have windows 7, don't do that anymore. The security feature will get on your nerves. I suggest a dedicated game dir for that so you won't be bothered by the security system if you try to install a mod for example.
If you have an SSD along with a hard drive, install the heavy weight games in there, lighter games can stay in hard disk.