where are the robots going at the end?

They are going into the wasteland which is too radiated for humans.
Although they should have demolished the cable going across the gorge to prevent any humans trying to follow them.
Can't wait for PART 2: RISE OF THE MACHINES (hmm I think they did it alrdy)

During the talk with Banderas when he is standing over the canyon, the one Robot says that they are going to the other end of the canyon where humans tested nukes in the past. The radiation levels there coupled with the already irradiated surface will prevent humans from following them for hundreds of thousands if not millions of years.

- Only through the shroud of darkness can you see the stars to stride for -

> so they got to the other side but what is there for them?

As others have said, they were going there so that man couldn't follow.

But, I'm not sure what will happen. They can't really reproduce. Oh, we saw that the robots were able to build a new robot, but they had a lot of spare parts and a nuclear battery. On the other side of the canyon, they have nothing but rocks and dirt. That's not enough stuff to work with.

--
What Would Jesus Do For A Klondike Bar (WWJDFAKB)?

1) There are varying degrees and types of radiation (Alpha, Beta, Gamma, Ionizing, Non-Ionizing...). The area around the planet Jupiter is rife with radiation which would be unhealthy for a human, but we have robotic probes orbiting and passing through with very little problems. As long as they are properly shielded and can error-correct, they're fine. Given the hazardous environments in which the Pilgrims were meant to work, it's conceivable that the wasteland was radioactive enough to kill any human foolish enough to venture there for more than a few hours, but that the robots could survive indefinitely.
2) Given their indicated advanced and accelerating intelligence, the robots could probably build up and create an industry for the production of more robots within years. Mankind started by just sharpening stones, and advanced to modern semiconductors. The largest challenges would be accumulating necessary resources (solar and wind power are plentiful, but locating and extracting certain elements requires a level of metallurgy that may take months for the robots to automate), and avoiding any irreparable damage in the process. The worst risk to the robots, given only two of them, would be getting crushed under a rock. Once they managed to build up a few dozen of themselves, they would essentially be unstoppable.

Adding to the other answers, remember that (as said by the CEO) in a matter of 9 days the robot basically evolved beyond human understanding. Maybe where they're going they will find a way to harness the radioactivity into a form of energy for themselves and maybe there are abandoned vehicles and buildings which they can use. Also, it is said that the area on the other side of the canyon is nuked and fatal for humans but maybe not "all" the area ahead, maybe just the first immediate thousand miles or so.

They were heading for stupidity.

Robots are not equipped for protection against radiation any more than humans. The robots in this film were mainly domestic models with open chassis. Are you going to tell me the designers made all the wires hanging out of them radiation proof?

Not even the most hardy robot can withstand radiation hot zones. NONE.

REAL FACT Fukushima is now in full meltdown. None of the bots they ever sent near it have survived more than a few minutes. Fukushima along with Chernobyl will be hot and deadly for hundreds of years. HUNDREDS. For humans, with our limited capacity to judge time, that might as well be forever.

So if the zone these stupid robots were running off to was as hot as Fukushima and Chernobyl, well then they will be offline within a day after seeing off Antonio and his radiation proof baby.

I'll bet it's the Forbidden Zone from Planet of the Apes!