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On Windows, using the shell's [Known Folders API][1] is preferred. For Python 3.6+, an extension module could wrap SHGetKnownFolderPath and provide a dict of KNOWNFOLDERID values such as FOLDERID_RoamingAppData.
On Linux, there's the [XDG Base Directory Specification][2]. The application directory is created in one or more of the following directories {default in brackets}: $XDG_CONFIG_HOME {~/.config}, $XDG_DATA_HOME {~/.local/share}, and $XDG_CACHE_HOME {~/.cache}. 
What about Mac OS X?
[1]: https://msdn.microsoft.com/en-us/library/bb776911
[2]: http://standards.freedesktop.org/basedir-spec/latest