http://www.saturnfans.com/forums/forumdisplay.php?f=23 , ask in the S-series forum (link above). I know in the L-series it was above the air bag in the dash, not sure if it's the same in the older S-series. A lot of other makes of cars put them under the carpet between the front seats or center console. If you buy a replacement, it will need to be programmed. Some places online can sell you a pre-programmed replacement if you give them certain details of your car, so check out those places, much cheaper than a dealership, but worst case - you install it yourself, then take it to a dealer to be flashed. It has to mate with the ECM (engine control module).
Edit for above, apparently only GM can do the programming, requires the Techtool 2 scan tool only they have. A lot of vehicle-specific engine options need to be programmed in, VIN, mileage, as well as for Passlock security/remote fobs. Most comments seem to suggest dealer price is going to be around 500.
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