There are two ways to answer this question. First, if you are asking what their houses or buildings of worship are called, then we can say the following, generally speaking:
Jews worship in a synagogue; Christians worship in a church; Muslims worship in a mosque.
I say that this is generally speaking, because there are different types of Jews, Christians, and Muslims. For example, many Christians overseas worship in personal homes, which is in keeping with the practice of the New Testament when there were no such things as churches.
Second, if you are asking from an historical point of view, the answer would be slightly different. Jews once worshipped in a temple, but this temple was destroyed in 70 AD by the Roman general Titus, who later became the emperor.
As for Muslims, the holiest place on earth is Mecca, and according to Islamic law all Muslims should make a pilgrimage (Hajj) there at least once in their lifetime.