It is sent to the user that ran the at job.
From the "at" man page on CentOS 5:
If at is executed from a su(1) shell, the owner of the login shell will receive the mail.
The superuser may use these commands in any case. For other users, permission to use at is determined by the files /etc/at.allow and /etc/at.deny.
If the file /etc/at.allow exists, only usernames mentioned in it are allowed to use at.
Of course you could make a script that sends an email to the user you want and call that from "at". Or you could alias the root user in your mail application (see /etc/aliases) so that all mail sent to root goes to the desired user instead (this however, wouldn't just be the "at" mail).