Msmq, the default transport för NServiceBus, use the store and forward pattern to deliver messages. That means that when you send a message to another machine it's first "stored" on the machine that sends the message and then "forward" to the recipient machine. This means that outgoing messages to unreachable machines will be stored on the sending machine until they can be delivered. Msmq uses the terminology of "outgoing queues" for temporary storage of messages that is being delivered. If the receiving machine is down the message will sit in the "outgoing queue" until it can be delivered. If you look at the "Message Queuing" MMC plugin you will find a folder called "Outgoing Queues", this is where your published messages will show up if the subscriber is down.
The best resource for info on Msmq IMO is John Breakwells blog:
http://blogs.msdn.com/b/johnbreakwell/archive/tags/msmq/
More info on NServiceBus combined with Msmq:
http://www.nservicebus.com/Msmq.aspx
Hope this helps!