I was wondering, since I have been unlocking all of the maps through the matches of both of the games, where are the Save files located? I have gone through all of the folders and can't seem to find anything.

Thanks! I'll see if UT04 ECE does it vice-versa, it likely does, but I won't guarantee it myself.

EDIT :
UT04 ECE has a folder in a temporary called Saves, so their located there.
Also, as a quick peice of info, if you are running Windows 7, as far as I know this is Win7 only, the saves for UTGOTY and UT04ECE are located both in a temporary hidden folder located here :

C:\Users\User\AppData\Local\VirtualStore\Program Files (x86)\GOG.com\Unreal Tournament GOTY\System

C:\Users\User\AppData\Local\VirtualStore\Program Files (x86)\GOG.com\Unreal Tournament 2004\Saves