It depends on what icons you mean... application icons, like Preview's or iChat's icon, are located inside the application file itself (which is actually just a folder that acts like an application).
Right-click on the application, then select "Show Package Contents." A new folder should open with the contents of the app. Poke around in there to see what's around. You should find the application icon along with a slew of other application-specific icons. For example, if you want the icon that shows on a .TIFF file, then you'd go poking around in the application package that's associated with that file (PhotoShop, Preview, whatever).
I would be hesitant to go changing icons around in the system by manually editing them unless you know exactly what you're doing. There are strict guidelines for icons, like masks, size, color depth, format, etc. that must be kept at a certain value -- you can't drop any old TIFF in place of a system TIFF and expect it to work. There are lots of articles about this on the internet, and a Google search for something like "Mac OS X icons" or "change Mac OS X icons" should yield a good amount of results.
If you want to safely change system icons, you can always get CandyBar:
http://www.panic.com/candybar/
It works well and safely changes the icons, so you can always change them back.