I found all the other modules in Python33/Lib, but I can't find these. I'm sure there are others "missing" too, but these are the only ones I've noticed. They work just fine when I import them, I just can't find them. I checked sys.path and they weren't anywhere in there. Are they built-in or something?
The modules like math, time, gc are not written in python and as rightly said in above answers that they are somewhere (written or moduled) within python interpreter. If you import sys and then use sys.builtin_module_names (it gives tuple of module names built into this interpreter). math is one such module in this list. So, we can see that math comes from here and is not separately written in library or any other folder as a python code.
Where are math.py and sys.py?