You can buy filled Grand Soul Gems in The Elder Scrolls IV: Oblivion primarily from the Mystic Emporium in the Imperial City Market District, where merchants like Aurelinwae and Calindil sell them

. Additionally, most Mages Guild Halls have at least one Grand Soul Gem for sale, which may sometimes be pre-filled

. Other reliable ways to obtain filled Grand Soul Gems include:

• The Arcane University lobby, which has display cases containing several filled Grand Soul Gems behind very hard locks

• Various static locations such as Chorrol Mages Guild display cases, Crayfish Cave, Drakelowe basement, Nornal ruins, and Squandered Mine, where you can find guaranteed filled Grand Soul Gems

• During the "Sins of the Father" quest, multiple filled Grand Soul Gems can be found

If you want infinite use, Azura’s Star is a special reusable filled Grand Soul Gem obtained by completing a quest at the Azura Shrine, which can be refilled infinitely with grand souls

. For farming soul gems, a known spot is the dungeon accessed via a trap door near Ceyatatar, where chests contain many soul gems including Grand Soul Gems; the chests respawn after waiting 72 hours in-game

. In summary, your best options to buy or find filled Grand Soul Gems are:

• Mystic Emporium merchants in Imperial City
• Mages Guild Halls merchants
• Arcane University display cases
• Specific quest rewards and dungeon chests

Waiting for merchant inventories to restock (every 7 in-game days) and exploring these locations will help you acquire filled Grand Soul Gems effectively