Lawrence Livermore National Laboratory produces fantastic annual diagrams that show energy flow in the U.S. from source to end use. Here’s the latest one, from 2012. You can learn a lot from studying this, but here are a few insights that were interesting to me:
- Almost 2/3 of total energy is not used for productive work (energy services). Most of this is probably from waste heat. Our transportation sector is particularly wasteful, which I guess is what happens when most people have their own internal combustion engine to propel them at high speeds over vast distances every day.
- Petroleum is used mostly for transportation (i.e. gasoline), with some going to industry (not sure what this would be).
- Coal is still the biggest source of electricity, although if you look at diagrams from earlier years you can see that it is decreasing at the expense of natural gas, and to a less extent, wind and solar.
Where does it come from and where does it go?
geovisualist 
I would imagine that the petroleum not used for transportation is primarily used to make plastics.
Maybe, but then I would think it would not be counted as an energy source. Maybe there are processes where some parts of the petroleum are used as feedstock for chemicals are plastics and other fractions are burned for energy.