This post shows where you can find these log and trace files. For enabling the generation of trace files see http://support.microsoft.com/kb/907490. Please keep in mind that although the article says that you can configure the folder in which the trace files are generated via TraceDirectory, the location is hard coded in the applications. You can set a value, but it will be ignored.

Outlook Client

• Standard log files %APPDATA%\Microsoft\MSCRM\Logs
• Autoupdate log files %APPDATA%\Microsoft\MSCRM\AutoUpdate
• Trace files %APPDATA%\Microsoft\MSCRM\Traces

Note: Since Update Rollup 7, these paths are switched to the %LOCALAPPDATA% folder in order to have a smaller roaming profile.

E-Mail Router

• You can configure the log file path. See http://blogs.msdn.com/benlec/archive/2008/03/25/how-to-implement-logging-for-the-microsoft-crm-4-0-e-mail-connector.aspx for reference

Data Migration Manager

• Trace files %APPDATA%\Microsoft\MSCRM\Traces

CRM Server

• Trace files {Install dir of application}\Trace
• Setup log files, Deployment Manager, … %APPDATA%\Microsoft\MSCRM\Logs

Event log
In addition to the log files, there is also useful information in the application event log. With the installation of CRM you get following new event sources

• MSCRMCallout
• MSCRMDeletionService
• MSCRMDeployment
• MSCRMEmail
• MSCRMKeyArchiveManager
• MSCRMKeyGenerator
• MSCRMKeyService
• MSCRMLocatorService
• MSCRMPerfCounters
• MSCRMPlatform
• MSCRMReporting
• MSCRMTracing
• MSCRMWebService

Update
Added note for Outlook Client log paths for version Rollup 7 or higher