Where does VIM (gvim/macvim) keep swap files for unsaved/unnamed buffers?

Start up vim and try:

:recover <filename>

If the file never had a name, then simply:

:recover

That's your best bet. For more about swap files and recovery, see:

:help usr_11

About the swap files, typically they're saved in the same directory as the file being edited, but with a . added the beginning to make it hidden and .swp at the end, but it's possible to move them elsewhere by something like:

:set directory=~/vimswap

or similar.

See:

:help swap

For all the details.

A vim swap file is not the same as the edited buffer, however, so be sure to read up there on what can be done for recovery.

EDIT: comments answering the question:

[…] It seems to look in your current working directory, ~/tmp, /var/tmp and /tmp for swap files and in my case I always have a current working directory set and that's where it got saved. – dsclementsen Oct 5 '10 at 1:42

also, be sure to check out the vim -r command line arg. This will print out all the swap files found and where they are. In addtion it will have a lot of extra information such as date/modified/username/etc... – Neg_EV Oct 5 '10 at 13:49

I work on Windows 10 and :recover didn't find a swap file. vim -r listed the swap file from the last edit session (also never saved) named _.swp. Recovering was possible with :recover _.