dude, which distro? They all seem to have some other way to do it and if you don't tell us then we can't help you.
On Gentoo (i think Redhat and Fedora also follow this but i'm not really sure...) i have them in /etc/init.d/
so in order to stop/start/restart a service you would do (as root, usually)
atom@saturn ~/ # /etc/init.d/apache2 stop
Ok so let's explain this.
The first part (incuding the '#') is my prompt,
/etc/init.d/ is the location of the script.
apache2, in this case, is the startup script for apache2. it could be vsftp or lpd or any service name you have installed. this is actually a program written in bash
stop is a command line argument given to the script to tell it what it should do. All of them should accept at least 3 different ones: stop, start and restart. Some support more (like status, pause, background...)
Hope this sheds some light on things.