"Where are they?" is good grammar. "Where are they at?" is poor grammar, or at best colloquial. They both have the same meaning.

I agree with Jen. 'Where are you at?' is a kind of 'street language' for 'How are you doing?/What's your status?' I would not recommend you use the 'at' form. A bit like writing words such as 'gonna' and 'wanna', people do this to try to sound cool, but they simply end up sounding uneducated. 'Where are they?' is normal, correct English. If you want to know where certain people or certain things are, then you say 'Where are they?'

I would use "where are they at" informally to refer to where specifically someone is in a process. For example, if someone was taking part in a race which had a number of laps and I wanted to know where they had got to in the race I would say "Where are they at" meaning what lap were they on. In this case "where are they" would not mean quite the same thing, as saying where they are physically would not tell me where they were in terms of the race. The same with a process with a number of stages. "Where are they at" in this case meaning what stage are they at.