It's the slot circled in the pic below. There aren't as many options for it, or at least not many options that you can still easily find, as compared to the SE/30 but it offers similar expansion options like network cards, video cards, and CPU accelerators. The SE PDS and SE/30 PDS implementations are not compatible however so you have to make sure whatever you're buying is specifically for the SE.
View attachment 27922
Back before I traded my away my SE I had a rather nice accelerator installed that bumped the machine up to a 68030/40 with 16MB RAM: