ANSWER: The characters go to different places, depending on whom you ask:
The Catholic Church's approach to characters: The nice characters go to Heaven, where they are bathed in the light of happiness. The naughty characters are punished for their sins. Naughty characters are those involved in the creation of naughty words, such as "breast," "sex" and "contraception."
The Buddhist explanation: If a character has lived rightly, and its karma is good, then after it has been deleted it will be reincarnated as a different, higher character. Those funny characters above the numbers on your keyboard will become numbers, numbers will become letters, and lower-case letters will become upper-case.
The 20th-century bitter cynical nihilist explanation: Who cares? It doesn't really matter if they're on the page, deleted, undeleted, underlined, etc. It's all the same.
The Mac user's explanation: All the characters written on a PC and then deleted go to straight to PC hell. If you're using a PC, you can probably see the deleted characters, because you're in PC hell also.
Stephen King's explanation: Every time you hit the (Del) key you unleash a tiny monster inside the cursor, who tears the poor unsuspecting characters to shreds, drinks their blood, then eats them, bones and all. Hah, hah, hah!
Dave Barry's explanation: The deleted characters are shipped to Battle Creek, Michigan, where they're made into Pop-Tart filling; this explains why Pop-Tarts are so flammable, while cheap imitations are not flammable. I'm not making this up.
IBM's explanation: The characters are not real. They exist only on the screen when they are needed, as concepts, so to delete them is merely to de-conceptualize them. Get a life.
PETA's (People for the Ethical Treatment of Animals) explanation: You've been DELETING them??? Can't you hear them SCREAMING??? Why don't you go CLUB some BABY SEALS while wearing a MINK, you pig!!!!