Some of it goes to the country's investment fund. Workers pay money into the investment fund each month and the amount they pay is higher in countries with higher income.
I think it also influences consumer spending. Countries with higher incomes buy more consumer goods (household products, cars, vacation, etc) per capita.
I've noticed also that the average value of houses is higher in countries with more income. The rest of consumer income is probably gobbled up by mortgage payments. (You can find this info on your finance index page, toward the bottom)