[Tuor of Gondolin]

The Silmarillion says that Ungoliant headed south from Beleriand.

Melkor had promised to reward her, "Yea, with both hands", and after their flight from Valinor, the Dark Lord indeed gave her many gems of the Ñoldor, but withheld the Silmarils in his right hand. He refused to give them to the Great Spider to be devoured, for he desired them greatly, and Ungoliant would have slain Melkor in the ensuing battle had not the Balrogs come and saved their master, causing Ungoliant to flee to the Ered Gorgoroth in Beleriand.

While there, she had many offspring, as well as various creatures infesting the Ered Gorgoroth, which came to be a place of horror. The dates of her existence are not precisely known; in The Silmarillion, Quenta Silmarillion, Chapter 9, Of the Flight of the Noldor, we are told that she "went whither she would into the forgotten south of the world" shortly before the First Age, and that "some have said that she ended long ago, when in her uttermost famine she devoured herself at last." In contrast, a rough sketch of Earendil's voyages by Tolkien suggests that he slew Ungoliant in the south.

http://en.wikipedia.org/wiki/Ungoliant