In North America they make massive southward migrations starting in August until the first frost. A northward migration takes place in the spring. The monarch is the only butterfly that migrates both north and south as the birds do, but no single individual makes the entire round trip. Female monarchs deposit eggs for the next generation during these migrations.
By the end of October, the population east of the Rocky Mountains migrates to sanctuaries in central México. The western population overwinters in various sites in southern California, notably in Pacific Grove and Santa Cruz. For a lengthy but interesting article see Wikipedia.