Where does Xenserver store local VMs

Your first stop should be reading Citrix's How to Export a Virtual Machine to an External USB Drive.

It will be best to try and recover the DomU's using the procedures linked - by booting the Dom0 and using xe to export the domU:

# xe vm-list
# xe vm-export vm=myVM filename=myVM-export.xva

If your dom0 is smoking wreckage this gets substantially harder. I don't think you can boot a LiveCD and scrape the VMs off the disks - at the very least we need to know what kind of storage you are using. You could try doing something like re-installing XenServer while leaving the VMs intact (How to Reinstall XenServer and Preserve Virtual Machines on a Local Disk).

VM hard drives are stored in /var/run/sr-mount/ will contain folders containing your local/remote repositories. Each folder has name = UUID of the storage repository Unfortunately, this won't help you restoring your VMs, as you need backups for restoring them. Use xe vm-export ... command from the comment #1.