What happens to the lost mass in radioactive decay?
On the nuclear physics side, it goes in to kinetic energy of the various particles as well as any gammas. If it is a simple reaction (D+D -> 3He+n or 3H+p) you can determine the energy of each particle in the center of mass by simple kinematics. In something resulting in more particles (most fission events result in 2 nuclei and multiple neutrons) you get a spread of kinetic energies of the various bits. And, if one or more of the nuclei are left in an excited state than you can get emission of gammas, energetic photons. 

As these daughter particles interact with the rest of the world, they will be thermalized through interactions with electrons and nuclei surrounding them, transferring kinetic energy, resulting in heat to the surroundings. Any gammas will eventually be absorbed/scattered, also resulting in energy transfer to the surroundings. If this did not happen, fission reactors would have a hard time making steam to turn turbines.