In The Elder Scrolls IV: Oblivion, Grand Soul Gems are valuable for enchanting and recharging powerful items, and obtaining them filled with Grand Souls is particularly useful.

Where to Get Grand Soul Gems

Guaranteed Locations with Grand Soul Gems (Empty or Filled):

• Arcane University: Display cases in the Arch-Mage's Lobby (behind a Very Hard Lock) contain three Grand Soul Gems; one more in the Mage's Quarters behind another Very Hard Lock.
• Chorrol Mages Guild: Two in a display case on the main floor (Very Hard Lock), and three more in another display case near the front door.
• Crayfish Cave: One Grand Soul Gem south, down the river.
• Drakelowe: One in the basement via a secret fireplace entrance.
• Nornal: On some ruins west of Drakelowe.
• Squandered Mine: Behind the hidden door on the lower level

Merchants Selling Grand Soul Gems:

• Aurelinwae and Calindil at the Mystic Emporium in the Imperial City Market District sell Grand Soul Gems (sometimes filled).
• Most Mages Guild Halls have merchants who sell Grand Soul Gems that refresh their inventory periodically

How to Get Grand Souls to Fill the Gems

Creatures with Grand Souls:

• Gloom Wraith, Lich, Minotaur Lord, Xivilai, and Voracious Hunger all have Grand Souls.
• The ghosts of Benirus Manor in Anvil always have Grand Souls and respawn every 72 hours.
• Ogres have Greater Souls until level 21, then Grand Souls.
• You can summon some of these creatures (e.g., Xivilai) with Master-level Conjuration and trap their souls using Soul Trap spells

Soul Trapping Tips:

• Use the Soul Trap spell to capture souls. It is sold by some NPCs, including a unique seller at Warlock's Luck near Brail.
• Tidewater Cave is a good farming spot for Grand Souls, where Cap Calper clan trolls can be soul trapped repeatedly after respawning.
• Black Soul Gems can be filled with human souls, which count as Grand Souls, but require caution as they can trap lesser souls if not used carefully

Summary

• Visit static locations like Arcane University and Chorrol Mages Guild for guaranteed Grand Soul Gems.
• Check Mystic Emporium and Mages Guild merchants regularly for Grand Soul Gems for sale.
• Trap souls of high-level creatures such as Gloom Wraiths, Liches, Minotaur Lords, and Xivilai to fill Grand Soul Gems.
• Use Soul Trap spells and farm respawning enemies in places like Tidewater Cave for a steady supply of Grand Souls