Traditionally, it has been with one or another of the sets of parents. The couple lives with the groom's family. Residence rules have many consequences. A patrilocal residence rule tends to cause a preference for sons. Sons are more highly valued than daughters because they stay with the family in which they are born.
Daughters leave, often at an early age.
About 1 out of 6 societies have matrilocal residence rules. The couple lives with the family of the wife. Often times this family is headed by the bride's mother's brother - the bride's maternal uncle. In such societies property is often passed down through the mother's side. The couple is expected to live apart from either set of parents.