I bought a new thermostat that has 4 wires unit is a lennox G12RQ3-82-6 where does the blue wire go?

I believe the blue one is usually used to power the thermostat without the need for batteries. If your thermostat runs on batteries then chances are the blue cable will not be used. That's just a guess though as wire colors can vary from manufacturer to manufacturer. Your best bet would be to follow the cable back to the unit, and see what they plug in to.