It just so happened that I've been asked where Firefox Bookmarks are stored a number of times [more](and I have to admit I also had to look for it the first time) so I figured I'd post here for everyone's convenience (did the gooling for you)
It's usually (by deafult I believe) located at C:Documents and Settings<your username>Application DataMozillaFirefoxProfiles where <your username> should obviously be replaced with your windows login/user name. When you get to this folder you should see some semi cryptic folder name like "4dw3r4ow.default". Open that folder and you should find bookmarks.html. That's where firefox stores your bookmark information.
Also, I bring along a cheap 2.5" external drive with me for files et al so I thought hey maybe I should save my bookmarks in there too so I have access to them on machines I use (eg. home and office). For this I would redirect you to this post by Chris Ilias on customizing firefox bookmarks location.
I know I know there are a number of ways of storing bookmarks online but I think the benefit I'm after is if I have firefox bookmarks itself (rather than online bookmarks like del.i.cious or google bookmarks – yes there is such a thing), I can use my AutoComplete Manager add-in. Which is typing in the address bar, the addin doesn't simply provide suggestions based on words in the URL or bookmark name or page title but all of them plus a couple more options on how you want autocomplete to behave. I've been using it for sometime and working good (not to mention some updates/enhancements here and there). This has been in my FF addin list for sometime along with NoScript and a few others.