In general, if you have completed these projects as part of your courses, then you'd often see this info either as bullet-point annotations in your education section (as long as it does not become too unwieldy) or simply referred to in your cover letter.
- Advanced Study in Widgetmaking. Final group project: Widgetmaking Awesomeness, which describes awesome widgetmaking. Role: Project Manager, with contributions in research and analysis.
However, I tend to advise people only to put project information in their coursework section if it was performed as a member of the team and you played a role on that team such as Project Leader or Team Lead. Otherwise, if this was just an individual project, you can assume that people know you did projects in your graduate seminars, and they were part of your overall education. Talk about them in your cover letter, as you tie your experience and education to the job to which you are applying. A "Research Experience" (or "Research Interests", depending on the type of job and industry you're going for) section, as you noted, would also be a fine place to list this information -- it is typically a succinct list with little annotation.
If these projects were actual research assistant or graduate assistant positions obtained through your university (e.g. work for a professor on a project), then they can most definitely go in your work experience section, and you have a bit more room to talk about your accomplishments there.