The National
Per standard procedure, investigators retrieved the "black box," which is actually two separate (and orange) units, the cockpit voice recorder (CVR) and the flight data recorder (FDR). Both were sent to NTSB headquarters in Washington, D.C.
The two data recorders can offer valuable information on what was going on in the plane leading up to the rough landing, as they did on Asiana Flight 214, which crash landed in San Francisco on July 6, killing three.
The CVR and FDR from that plane were flown to Washington under federal guard.
Via the NTSB, here's a photo of Sean Payne wheeling the "black boxes" from the Southwest jet to the NTSB's lab.
NTSB
And here's engineer Chris Babcock preparing the cockpit voice recorder:
NTSB