Some good answers here which individually tend to hit on one method or another for sending the data. There's a valuable reference which I feel is missing from the above answers, though, and covers all the methods.

Google refers to the different methods of sending data 'transport mechanisms'

From the Analytics.js documentation Google mentions the three main transport mechanisms that it uses to send data.

This specifies the transport mechanism with which hits will be sent. The options are 'beacon', 'xhr', or 'image'. By default, analytics.js will try to figure out the best method based on the hit size and browser capabilities. If you specify 'beacon' and the user's browser does not support the navigator.sendBeacon method, it will fall back to 'image' or 'xhr' depending on hit size.

1. One of the common and standard ways to send some of the data to Google (which is shown in Thinker's answer) is by adding the data as GET parameters to a tracking pixel. This would fall under the category which Google calls an 'image' transport.
2. Secondly, Google can use the 'beacon' transport method if the client's browser supports it. This is often my preferred method because it will attempt to send the information immediately. Or in Google's words:

This is useful in cases where you wish to track an event just before a user navigates away from your site, without delaying the navigation.

3. The 'xhr' transport mechanism is the third way that Google Analytics can send data back home, and the particular transport mechanism that is used can depend on things such as the size of the hit. (I'm not sure what other factors go into GA deciding the optimal transport mechanism to use)

In case you are curious how to force GA into using a specific transport mechanism, here is a sample code snippet which forces this event hit to be sent as a 'beacon':

ga('send', 'event', 'click', 'download-me', {transport: 'beacon'});

Hope this helps.

Also, if you are curious about this topic because you'd like to capture and send this data to your own site too, I recommend creating a binding to Google Analytics' send, which allows you to grab the payload and AJAX it to your own server.

    ga(function(tracker) {

       // Grab a reference to the default sendHitTask function.
       originalSendHitTask = tracker.get('sendHitTask');

       // Modifies sendHitTask to send a copy of the request to a local server after
       // sending the normal request to www.google-analytics.com/collect.
       tracker.set('sendHitTask', function(model) {
         var payload = model.get('hitPayload');
         originalSendHitTask(model);

         var xhr = new XMLHttpRequest();
         xhr.open('POST', '/index.php?task=mycollect', true);
         xhr.send(payload);
       });
    });