Energy lost in Capacitors
Mostly heat, typically in a real situation. Consider a non-zero resistance between the capacitors (and internal to them) and analyze what happens after the instant of connection. There will be a spark and some EM emission. 

Even if the capacitors literally had zero resistance (superconducting) the energy would slop around because of inductance and eventually be lost because it was induced in lossy surrounding materials or emitted as EM waves.