It is different for every plugin, but for WordPress SEO by Yoast it is right in the main SEO control panel, Yoast WordPress SEO -> General Settings -> Webmaster Tools
(click on the tab for SEO, the one that has the orange icon on it, to get to General Settings) ... at the bottom of that page are the three text areas for entering the Google Analytics, Bing Analytics or Alexa meta data. But, if you already have verified ownership of the site by any other means (Bing .xml file at the site root, meta tag or DNS) you don't even need to enter anything in there.