» Sat Jun 23, 2012 9:05 pm
As stated during the game, when you absorb a dragon's soul, you consume it, effectively killing it permanently. That is why you are the only one who can kill dragons, otherwise alduin could simply return the soul to the body again an resurrect it again.
If you are still wondering where the soul goes though, I have two theories.
1. It becomes a part of your own, making your own soul more powerful. (most likely scenario)
2. Sithis is very pleased with your work. (Also very likely, but not as likely as the first.)