What are data structures at the lowest level?

The trick is that you don't have to care. cons, cdr and car are abstractions and so their underlying implementation shouldn't matter.

What you have there are what are called "Church pairs", we build everything from functions. In modern machines we build everything from strings of 1s and 0s, but really, it doesn't matter.

Now, if you're wondering how all of these abstractions are implemented at in your particular implementation, that depends. In all likelihood your compiler/interpeter is jumping through hoops behind the scenes allocating cons cells as tightly packed pair of pointers (or similar) and turning your functions into a string of 0's and 1's forming the appropriate machine code and pairing this with a pointer to its environment.

But like I said, the whole beauty of building these abstractions is that you don't have to care as a user :)

The substrate at the bottom of the abstraction chain varies depending on the hardware, but it's probably going to be some sort of register machine, which will have some kind of native instruction set.

SICP's last chapter is all about this layer. The book doesn't present any real-life hardware, but an abstract (ahem turtles!) register machine that sort of resembles what might actually be going on ... which happens to be modeled in Scheme, just for extra metacircular fun. I found it a tough read, but worthwhile.

If you're interested in this sort of stuff you might want to check out Knuth, too.